Andrew A. Weiss, "Estimating Time Series Models using the Relevant Cost Function", Journal of Applied Econometrics, Vol. 11, No. 5, 1996, pp. 539-560. The data were taken from Citibase. The zip file weiss.zip contains 15 separate ASCII files each containing one series, with the name of the file corresponding to the series name in table I of the paper. Directly following the series in each file is the name of the series, a code for whether the series is monthly or quarterly, and the time period covered by the series. The 15 files are: fmfba.asc fyac.asc gd.asc ggfex.asc gmc82.asc gnp.asc gnp82.asc gpsav.asc gy82.asc ip.asc ipcd.asc ivrr.asc loutm.asc pu.asc rtrr.asc These ASCII files are in DOS format, so Unix users will need to use "unzip -a". E-mail address: andrew.weiss@vuw.ac.nz