Andrew J. Patton, "Estimation of Multivariate Models for Time Series of
Possibly Different Lengths", Journal of Applied Econometrics, Vol. 21, No.
2, 2006, pp. 147-173.

This data set is a space delimited ASCII file in DOS format, containing 3210
observations on three variables:

  1) Date, in YYYYMMDD format. First / last date: 19910102 / 20030630.

  2) 100 times the log difference of the Japanese yen / U.S. dollar
     exchange rate.

  3) 100 times the log difference of the Euro / U.S. dollar exchange
     rate. All entries for dates prior to 1 January 1999 (ie, the
     first 2051 entries) were given the value -999.99.

The data were obtained from Datastream.

These data are in the file patton-data.txt, which is zipped in
patton-data.zip. Unix users should use "unzip -a".

If you have any questions or problems please contact:

 Andrew Patton
 London School of Economics
 Houghton Street
 London WC2A 2AE
 United Kingdom

 email: a.patton@lse.ac.uk