Zacharias Psaradakis, Martin Sola, and Fabio Spagnolo, "On Markov
Error-Correction Models, with an Application to Stock Prices and Dividends", 
Journal of Applied Econometrics, Vol. 19, No. 1, 2004, pp. 69-88.

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

There are three columns in the data set. The first column contains the dates
of the observations, which range from 1900 to 1992. The second and third
columns contain the annual Standard and Poor's composite real stock price
index and real dividends per share, respectively.

Zacharias Psaradakis
School of Economics, Mathematics and Statistics
Birkbeck College
7-15 Gresse Street
London W1T 1LL
United Kingdom
Email: z.psaradakis@bbk.ac.uk