Markku Lanne, "Near Unit Roots, Cointegration, and the Term Structure of Interest Rates", Journal of Applied Econometrics, Vol. 15, No. 5, 2000, pp. 513-529. The data set consists of monthly observations of U.S. zero coupon yields with maturities 1, 2, 3, 6, 12, 24, 36, 60 and 120 months covering the period 1952:1 - 1991:2. The yields are given as percentages per annum, and are on a continuous-compounding basis. A detailed description of the data is given in "U.S. Term Structure Data, 1947 - 1991", Ohio State University Working Paper #93-6 by J.H. McCulloch and H.-C. Kwon, and this paper as well as the entire data set are available at http://ecolan.sbs.ohio-state.edu/mccull.html. The data are in an ASCII file (on DOS format) called zeroyld.dat, which is zipped in the file ml-data.zip. The data are organized by observation with the first column giving the date as "yyyymm" and the nine following columns containing the yields in the order mentioned above.