Christoph Schleicher, "Codependence in Cointegrated Autoregressive Models",
Journal of Applied Econometrics, Vol. 22, No. 1, 2007, pp. 137-159.

The data are in the file rawdata.txt (12 KB), which is zipped in the file
cs-data.zip. This file is an ASCII file in DOS format. Unix users should use
"unzip -a".

Format of the data: 162 rows and 6 columns
Range: 1964:1 - 2004:2 (quarterly)

	column 1: date (in Matlab format)
	column 2: disposable income
	column 3: durable goods
	column 4: semi-durable goods
	column 5: nondurable goods
	column 6: services

Source: Office for National Statistics (ONS).

Disposable income 		= log(RHPIKP - log(NHDS)
Durables consumption 		= log(UTID) - log(NHDS)
Semi-durables consumption 	= log(UTIT) - log(NHDS)
Non-durables and Services 	= log(ABJR - UTID - UTIT - QBFK) - log(NHDS),

where QBFK are imputed rents and NHDS is working population (in thousands).
All variables are expressed in (chain-linked) 2001 pounds and seasonally
adjusted.

The file additional-tables.pdf contains two tables that do not appear in the
paper itself.


Christoph Schleicher
Monetary Instruments and Markets Division
Bank of England

christoph.schleicher [AT] bankofengland.co.uk
christoph [AT] iam.ubc.ca