Dennis Fok, Dick van Dijk, and Philip Hans Franses, "A multi-level panel
STAR model for US manufacturing sectors", Journal of Applied
Econometrics, Vol. 20, No. 6, 2005, pp. 811-827.

The data concerning the industry characteristics were obtained from the
NBER-CES Manufacturing Industry Database; see
www.nber.org/nberces/nbprod96.htm. This database however contains data
based upon the SIC classification. We have converted these to NAICS
industries using the NAICS-SIC correspondence tables
(www.census.gov/epcd/www/naics.html). The tab-delimited file
sector_characteristics.txt contains averages of the resultant annual
data as they are used in the paper. The file contains 7 columns and 20
rows (including column headers); see the paper for a description of the
data (note 2 of Table 1).

The file ipsa.txt contains quarterly figures of the seasonally adjusted
production from 1972:1 to 2003:4 for several NAICS (sub)categories. These
data were obtained from the Federal Reserve Board
(www.federalreserve.gov/releases/g17/download.htm). The file ipsa.txt
has 29 columns and 129 rows (including column headers). The column
footers are self-explanatory.

Finally, we obtained figures of the interest rate spread from 1954:3 to
2003:4. This spread is calculated as the difference between 10-year
Treasury bond rate and the federal funds rate (source: Federal Reserve
Board, see www.federalreserve.gov/releases/h15/data.htm). These are
given in the file indicator.txt (199 rows x 3 columns). 

All three data files, which are in DOS format, are contained in the
zip-file fdf-data.zip