Orazio Attanasio and Monica Paiella, "Intertemporal Consumption Choices, 
Transaction Costs and Limited Participation in Financial Markets: 
Reconciling Data and Theory", Journal of Applied Econometrics, Vol. 26, 
No. 2, 2011, pp. 322-343.

All data are in the file ap-data.txt, which is an ASCII file in DOS format.
It consists of 24,016 observations (rows). The variables included in the
file are 45 (columns). The data are taken from the US Consumer Expenditure
Survey, and details about exact coverage and exclusion criteria are in the
data section of the paper. Most estimates have been produced using GAUSS.
ap-prog.g is the GAUSS program for the evidence presented in table 3, which
reports our main estimates.

Both ap-data.txt and ap-prog.g are zipped in the file ap-data.zip.
Unix/Linux users should use "unzip -a".

The table below lists the names of the variables included in the dataset and
a short description:

newid	Household identifier
t2 	Dummy for non-shareholders
coh	Cohort identifier
ageref	Household head age
edy1, edy2, edy3  Dummies for household head without a high school diploma
      	    	  or university degree, with a high school diploma and with
		  a university degree
year	Year of interview
month	Month of interview
yrmo	Six-digit variable indicating in the 1st four digits the year and
	in the last two digits the month of interview
c	Deseasonalized non-durable per-capita real expenditure
clag	Lagged expenditure
dc	Expenditure growth
r	Real return on the S&P500 composite index over the 11 months ending
	in yrmo
lr	Log(r)
r_lag	Lagged r
r_l2, r_l3, r_l4	r lagged 2, 3 and 4 periods
rf      Real return on the 3-month t-bill over the 11 months ending in yrmo
rf_lag	Lagged rf
rf_l2  	rf lagged 2, 3 and 4 periods
rskpr	Default risk premium, measured as the ratio between Moody's seasoned
	Aaa and Baa corporate bond yields
rskpr_l	Lagged rskpr
rskpr_l2, rskpr_l3, rskpr_l4	rskpr lagged 2, 3 and 4 periods
trmpr	Term premium, measured as the ratio between the returns on 10 year
	and 1 year government bonds
trmpr_l	Lagged trmpr
trmpr_l2, trmpr_l3, trmpr_l4	trmpr lagged 2, 3 and 4 periods
pe10	Price earnings ratio
pe10_l 	Lagged pe10
pe10_l2, pe10_l3, pe10_l4	pe10 lagged 2, 3 and 4 periods
pd10	Price dividends ratio
pd10_l 	Lagged pd10
pd10_l2, pd10_l3, pd10_l4 	pd10 lagged 2, 3 and 4 periods