Michel Normandin and Pascal St-Amour, "Substitution, Risk Aversion,
Taste Shocks, and Equity Premia", Journal of Applied Econometrics, Vol.
13, No. 3, 1998, pp. 265-281.

The data are in a file called ns-data.dat, which is zipped in ns-data.zip.
They are U.S. data, monthly, for the period 1959:4 to 1992:7 (400
observations). The file has 9 columns, and data are in the Fortran format
e14.6. For example, the first three numbers in the file are

  -.845400E-02   .213100E-02   .373490E-01

These could also have been written as 

  -.00845400   .00213100   .0373490

* Col 1: The consumption growth (used in the paper)
* Col 2: One-month T-Bills (the risk-free rate used in the paper)
* Col 3: The market return (not used in the paper)
* Col 4: The NYSE value-weighted market return (used in the paper)
* Col 5: The return for the primary industry (used in the paper)
* Col 6: The return for the manufacturing industry (not used in the paper)
* Col 7: The return for the transportation industry (used in the paper)
* Col 8: The return for the trade industry (used in the paper)
* Col 9: The return for the finance and services industry (used in the paper)