Shin-Ichi Nishiyama, "The Cross-Euler Equation Approach to Intertemporal Substitution in Import Demand", Journal of Applied Econometrics, Vol. 20, No. 7, 2005, pp. 841-872. The data are in two files "usdat.txt" and "fivdat.txt". These are space delimited TXT files (ASCII files in DOS format). They are zipped in the file sndata.zip. Unix users should use "unzip -a". 1. usdat.txt (Quarterly Seasonally Adjusted, 1967Q1 - 1994Q3) Source: Ceglowski (1991) and De la Croix and Urbain (1998) The data set spanning from 1967Q1 to 1988Q4 was constructed by Ceglowski (1991) and was extended to 1994Q3 by De la Croix and Urbain (1998). These data are also available in the Journal of Applied Econometrics Data Archive at http://www.econ.queensu.ca/jae/1998-v13.6/de_la_croix-urbain/ The file usdat.txt includes the following data which were used in CCR and GMM estimation of this paper. Col.1: Imported non-durable consumption goods (volume) Col.2: Domestically produced non-durable consumption goods (volume) Col.3: Price of imported non-durable consumption goods Col.4: Price of domestically produced non-durable consumption goods Col.5: Real interest rate The data for real interest rate were constructed based on the 3-month U.S. Treasury Bill and U.S. Implicit Price Deflator for GDP and are not part of the De la Croix and Urbain (1998) data set. 2. fivdat.txt Three financial instrumental variables were constructed. The first financial instrument is the value-weighted return from equities (denoted VWR), which was calculated from all the stocks listed on the New York Stock Exchange(NYSE) and the American Stock Exchange (AMEX). Monthly value-weighted return was compounded for three months in order to obtain quarterly value-weighted return. Then quarterly value-weighted return was converted to real terms by removing the inflation effect. The quarterly inflation rate was calculated from U.S. Implicit Price Deflator for GDP. (Quarterly, 1967Q2 - 1990Q4) Source: Center for Research in Security Prices The second financial instrument is the dividend yield (denoted DIV). The dividend yield is the value-weighted average of the dividend yields of stocks listed on NYSE and AMEX. We converted monthly dividend yield to quarterly data by extracting the end-of-quarter observations. This is because dividends are more likely to occur at the end of each quarter, rather than in the middle each quarter. Then the quarterly dividend yield was seasonally adjusted using seasonal dummies. (Quarterly Seasonally Adjusted, 1967Q2 - 1990Q4) Source: Center for Research in Security Prices The third financial instrument is the yield spread in the corporate bond market (denoted YSP). The yield spread is the yield-to-maturity difference between corporate bonds rated Baa and corporate bonds rated Aaa by Moody's Investor Services. We first calculated the monthly yield spread of the corporate bonds and then converted to quarterly data by taking quarterly averages. (Quarterly, 1967Q2 - 1990Q4) Source: Moody's Investor Services fivdat.txt includes the following financial instrumental variables: Col.1: Value-weighted return from equities (VWR) Col.2: Value-weighted average of dividend yield (DIV) Col.3: Yield-to-maturity difference between Moody's Baa rated corporate bonds and Aaa rated corporate bonds (YSP)