Allan W. Gregory, Alfred A. Haug and Nicoletta Lomuto, "Mixed Signals Among
Tests For Cointegration", Journal Of Applied Econometrics, Vol. 19, No. 1, 
2004, pp. 89-98.

The file ghldata.zip contains the data for the non-experimental portion of
the study, in which we conduct tests for cointegration on 132 models from 34
studies that have appeared in the Journal of Applied Econometrics.  In order
to perform a consistent set of tests, we imposed a standard unifying
methodology.  As a result, the models deviate from the original studies in
some instances, and the data files in this archive are not identical to the
data files posted with the original 34 articles.  

The data files are in fixed column ASCII format. The data are arranged by
observation, with each column containing the data for one variable. The
variable names appear underneath each column of data.  The files named
data_guide.html and data_guide.txt (which are HTML and text versions of the
same file) describe the contents of each data file in greater detail.
Variable definitions are provided, along with the sample period, frequency
and citation for the study associated with the data.

A complete description of the study methodology is posted at 
http://www.econ.queensu.ca/pub/faculty/gregory .

Nicoletta Lomuto
Senior Research Analyst
DATACORP
2 Richmond Square
Providence, RI 02906
Email: nlomuto@mjdatacorp.com