James D. Hamilton and Gang Lin, "Stock Market Volatility and the 
Business Cycle", Journal of Applied Econometrics, Vol. 11, No. 5, 1996,
pp. 573-593. 

Data are in the file citi.dat

col. 1-- Date (month)
col. 2-- S&P 500 index
col. 3-- Stock dividend yield
col. 4-- Tbill rate
col. 5-- index of industrial production

Empirical analysis started with observation #215

A sample GAUSS program is maxseek.2s which calls the procs in procs.ext. 
Sample output files are contained in 2s.*

The data file is zipped in hl-data.zip. The program and output files are
zipped in hl-progs.zip. All files are in DOS format. 

Jim Hamilton
UCSD