data.xlsx includes the data used in the study, as described in section 3 "Data":

1) the house price index (in logs) for the 48 states and the aggregate economy,
2) the housing investment data (in logs) for the 48 states and the aggregate economy and
3) the Economic Policy Uncertainty index for the aggregate economy.



codes.wf1 includes the models estimated, as described in section 4 "Methodology":

VAR(1) to VAR(8) - BEKK for each state and the aggregate economy (equations 1 and 2 in the paper) and the Granger causality test equations (equation 3 in the paper).
Each page in the codes.wf1 file includes a description.txt file with more details.