Hyungsik Roger Moon and Benoit Perron, "An Empirical Analysis of Nonstationarity in a Panel of Interest Rates with Factors", Journal of Applied Econometrics, Vol. 22, No. 2, 2007, pp. 383-400. The data are various interest rates in Canada and the United States. The sample is January, 1985 to April, 2004, for a total of 232 observations for each rate. The Canadian rates are for the last Wednesday of each month and were taken from CANSIM. The US rates are monthly averages and were obtained from FRED. There are two data files, both of which are ASCII files in DOS format. They are both zipped in the file mp-data.zip. Unix users should use "unzip -a". The Canadian yields are in the file canratesm.txt. There are 14 Canadian yields (with CANSIM codes), one in each column: 1 month Federal Treasury bill (V122529) 3-month Federal Treasury bill (V122531) 6-month Federal Treasury bill (V122532) 1-year Federal Treasury bill (V122533) Federal government bonds with 2 years to maturity (V122538) Federal government bonds with 3 years to maturity (V122539) Federal government bonds with 5 years to maturity (V122540) Federal government bonds with 7 years to maturity (V122542) Federal government bonds with 10 years to maturity (V122543) Prime corporate paper rate with a maturity of 1 month (V122509) Commercial paper rate with a maturity of 3 months (V122491) Bankers' acceptances with maturity of 1 month (V122504) Scotia Capital average of yields on corporate bonds with long-term maturities (V122518) Scotia Capital average of yields on corporate bonds with mid-term maturities (V122519) The 11 U.S. yields are in the file usratesm.txt: Moody's Seasoned Aaa Corporate Bond Yield Moody's Seasoned Baa Corporate Bond Yield 1-month Commercial Paper (until August 1997) and 1-Month AA Financial Commercial Paper Rate (starting September 1997) Treasury securities constant maturity: 1 year Treasury securities constant maturity: 10 years Treasury securities constant maturity: 2 years Treasury securities constant maturity: 3 years Treasury securities constant maturity: 3 months Treasury securities constant maturity: 5 years Treasury securities constant maturity: 6 months Treasury securities constant maturity: 7 years In both files, the first column contains the date. Benoit Perron Dépt. de sciences économiques Université de Montréal C.P. 6128, succ. Centre-ville Montréal, Québec H3C 3J7 CANADA E-mail: benoit.perron [AT] umontreal.ca Web: http://mapageweb.umontreal.ca/perrob/ Researcher, CIREQ CIRANO