Much of the data for these cross-sectional regressions is proprietary so running the attached do files requires access to this data, but here we describe the data sources.  

Monthly auto sales data by zip code can be purchased from R.L. Polk.
House price data can be purchased from the CoreLogic corporation.

NAICS employment shares are obtained from county business patterns.
Local unemployment rates are obtained from the BLS.
Local income data is obtained from the IRS SOI.