Dick van Dijk, Philip Hans Franses and Andre Lucas,
"Testing for ARCH in the Presence of Additive Outliers",
Journal of Applied Econometrics, Vol. 14, No. 5, 1999, pp. 539-562.

The data which is used in this paper is contained in the
file MACROUSA.DAT. The dataset comprises 15 post-World War
II US macroeconomic time series. 

The series, in the order in which they appear in MACROUSA.DAT 
(by column) and preceded by their CITIBASE code (from which 
the series were obtained), are:

FM1     M1
FM2     M2
FMBASE  monetary base
FSPCOM  S&P 500 stock price index
FYAAAC  yields on AAA bonds
GCQ     real consumption
GD      GNP deflator
GIFQ    real fixed investment
GNPQ    real GNP
IP      industrial production
LCPM    nominal compensation per hour in manufacturing
LHEM    civilian non-institutional employment
LHUR    unemployment rate
LOUTM   labour productivity in manufacturing
PUNEW   consumer price index

The data are quarterly and generally cover the period 
1947Q1-1993Q4, or 188 observations.
Exceptions are the unemployment rate and employment series
which span 1948Q1-1993Q4, M1 and M2 which span 1959Q1-1993Q4, and
real GNP and the GNP deflator which span 1947Q1-1993Q3.
Missing values are indicated with dots.

All series in MACROUSA.DAT are in logs, except for the unemployment 
rate which appears in levels. Note that the analysis in the paper is 
based on the first differences of logs for all series except the 
unemployment rate, which is analyzed in first differences. 

The same date have been analyzed in Nathan S. Balke and Thomas B. Fomby
(1994) Large shocks, small shocks, and economic fluctuations: outliers 
in macroeconomic time series, Journal of Applied Econometrics 9, 181-200.


Dick van Dijk

Email: djvandijk@few.eur.nl
Homepage: http://www2.tinbinst.nl/~djvdijk

Tinbergen Institute
Erasmus University Rotterdam
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