Adrian R. Pagan and Kirill A. Sosunov, "A Simple Framework for
Analyzing Bull and Bear Markets", Journal of Applied Econometrics,
Vol. 18, No. 1, 2003, pp. 23-46.

The zip file ps-data.zip contains one data file, lusstk.dat, which
contains the log of monthly US stock prices from 1835/1 to 1997/5.

The US data are for the period 1835/1-1997/5. The series are from Schwert,
G.W. (1990), "Indexes of United States Stock Prices from 1802 to 1987",
Journal of Business, 63, 399 - 426, from 1835/1-1870/12 and the S&P index
thereafter. From 1871/1-1956/12, these data were taken from series 11011 in
the NBER macroeconomic database. Missing observations in 1914 due to the
closure of the NYSE at the outbreak of WW1 were linearly interpolated.
Dividends are those derived from a comparison of the S&P index with and
without dividends and were obtained from Allan Timmerman. Data sources are
described in more detail in Appendix A of the paper.

The zip file ps-progs.zip contains several Gauss program files.

All data and program files are ASCII files in DOS format. Unix users
should use "unzip -a".

Program files:

bbstkjae.prg computes average bull and bear market characteristics for a
given sample of data.

bbstksimj.prg Computes characteristics of average bull and bear markets
from simulated data.  One can simulate from random walk, garch, egarch
or Gordon and St Armour models.

mod.prg Does the same as for bbstksimj.prg but data is simulated from
Campbell-Cochrane Model.

mainprc.prg and main.prg are Cochrane's programs that are used to
compute simulated output from the Cochrane-Campbell model. These must be
included in the examples sub-directory of whatever gauss directory is
being used.