Michael R. Wickens and Roberto Motto, "Estimating Shocks and Impulse
Response Functions", Journal of Applied Econometrics, Vol. 16, No. 3,
2001, pp. 371-387.

All data are in the file wmdata.dat, an ASCII file in DOS format which is
zipped in the file wmdata.zip. Unix users should use "unzip -a".

The data are quarterly for the United States for the period 1960:1-1998:4.

There are five series, which are stored by observation in the following order:

  R = federal funds rate
  P = GDP deflator
  Y = GDP
  M = money supply (M1) 
  PY = nominal GDP

Mike Wickens
mike.wickens@york.ac.uk