Youngsoo Bae and Robert M. de Jong, "Money Demand Function Estimation by Nonlinear Cointegration", Journal of Applied Econometrics, Vol. 22, No. 4, 2007, pp. 767-793. 1. All data are contained in the file named "data_mpyr.txt". At the first row, "103 4" indicates 103 observations and 4 columns (series). From the second row, 1st column : logarithm of M1 2nd column : logarithm of CPI 3rd column : logarithm of NNP 4th column : nominal interest rate 2. For the "Ox" computer program, there are three files. "ncls_estimation.ox" : code for estimation "ncls_simulation.ox" : code for simulation "ncls_lib.ox" : code for user-defined function library All files, which are in DOS format, are zipped in the file bdj-files.zip. Unix users should use "unzip -a".