L. A. Gil-Alana and Peter M. Robinson, "Testing of Seasonal Fractional
Integration in UK and Japanese Consumption and Income", Journal of
Applied Econometrics, Vol. 16, No. 2, 2001, pp. 95-114.

There are four data files and one program file. All five files, which are in
DOS format, are zipped in the file gr-data.zip.

Two files contain data on consumption and income in the U.K. The data are
quarterly from 1955.1 to 1984.4 and are transformed in logs.

These data were used by Hylleberg, Engle, Granger and Yoo in the
article "Seasonal integration and cointegration", (1990), Journal
of Econometrics 44, 215-238.

  hegy-consume.dat:	The log of total real consumption in the U.K.
  hegy-income.dat:	The log of real disposable income in the U.K.

Two more files contain data on consumption and income in Japan. The data
are quarterly from 1961.1 to 1987.4 in 1980 prices and are transformed in
logs.

These data were used in Hylleberg, Engle, Granger and Lee in the
article "Seasonal cointegration. The Japanese consumption function",
(1993), Journal of Econometrics 55, 275-298.

  hegl-consume.dat:	Log of total real consumption in 1980 prices.
  hegl-income.dat:	Log of real disposable income in 1980 prices.

The file Season.for contains a Fortran 77 program for calculating the tests
described in the paper. The OPEN statement may need to be changed, as may
the value of N in the first PARAMETER statement.