Yixiao Sun and Peter Phillips, "Understanding the Fisher Equation",
Journal of Applied Econometrics, Vol. 19, No. 7, 2004, pp. 869-886.

The data used in this paper are contained in three ASCII files in DOS
format, all three of which are zipped in the file spdata.zip.

cpi.dat: The first column contains the year, the second column contains
the month, and the third column contains the monthly US CPI. For each
year, The first 12 observations are the monthly CPI while the 13rd
observation is the annual CPI. The data are available from the Monthly
Labor Review of the Bureau of Labor Statistics (Code: CUUROOOOSA0. 
http://www.bls.gov/data/home.htm) 

nr.dat: The first column contains the month and the second column
contains the three-month (US) Treasury Bill Rate. The data are available
from the Board of Governors of the Federal Reserve System, Federal
Reserve Bulletin (Code: TB3MS. http://research.stlouisfed.org/fred/)

ef.dat. The file contains the quarterly inflation forecasts from 1981:4
to 1999:3. The data are available from the Survey of Professional
Forecasters. For more information see http://www.phil.frb.org/econ/spf/

Yixiao Sun
Department of Economics, 0508
University of California, San Diego
9500 Gilman Drive
Lo Jolla, CA 92093-0508

E-mail: yisun@ucsd.edu