Peter C. B. Phillips, "Descriptive Econometrics for Nonstationary Data",
Journal of Applied Econometrics, Vol. 16, No. 3, 2001, pp. 389-413.

Three Data sets are used in the paper:

1. Exchange Rate data. These data were obtained from the Bank of
International Settlements and are contained in the file

 bis.dat

The file has seven columns. From left to right they are: year, month, day,
spot DM/ECU, Central DM/ECU, Spot FR/ECU, Central FR/ECU. The central rate
is the center of the target zone. Missing observations are denoted by ".".
The time period covered is 1979-3-13 to 1993-7-30.

2. CPI data

These data comprise monthly CPI for the US over the period 1934:1-1997:11.
The source of the Data is the Bureau of Labor Statistics. The ID for the
series is CUUR0000SA0. The file has two columns, the first being the date,
the second being the data.

These data are contained in the file:

cpi.dat

3. Public Opinion data 

These data comprise public opinion survey data. They are a proprietary data
set obtained from

Professor Zhian-Hua Zhu, 
Department of Communications
University of Connecticut
Storrs, CT
USA

and I do not have authority to distribute them on the web. Readers may
approach Professor Jin Hua for the data themselves.

The zip file pcbp-data.zip contains bis.dat and cpi.dat, which are ASCII
files in DOS format. Unix users should use "unzip -a".

*****

Peter C. B. Phillips
peter.phillips@yale.edu
				    
Cowles Foundation for Research in Economics      
Yale University                                   fax:  203 432 5429
Box 208281                                         sec:  203 432 3703 
New Haven CT 06520-8281                tel:  203 432 3695
USA

Web Pages: http://korora.econ.yale.edu
Personal Home Page at Cowles: http://cowles.econ.yale.edu/faculty/phillips.htm
Econometric Theory, Journal Web Page: http://korora.econ.yale.edu/et.htm
Cowles Foundation Web Page: http://cowles.econ.yale.edu/