Zeynep Senyuz, "A Factor Analysis of Permanent and Transitory Dynamics 
of the U.S. Economy and the Stock Market", Journal of Applied 
Econometrics, Vol. 26, No. 6, 2011, pp. 975-998.

The data set consists of 7 series at the quarterly frequency. Each series
contains 226 observations.

All macro series (RGDP, RCONS, RINV) are retrieved from the FRED database at
the Federal Reserve Bank of St. Louis. 

The financial series deflated with CPI (RSP, RDIV, REAR) are obtained from
Robert Shiller's website (http://www.econ.yale.edu/~shiller/data.htm) and
converted to quarterly frequency by taking three month averages.

The NBER classification of US recessions is taken from www.nber.org

RSP:Real S&P 500 composite stock price index
RDIV:Real S&P 500 dividends
REAR:Real S&P 500 earnings
RGDP: Real gross domestic product
RCONS: Real consumption expenditure on non-durables and services
RINV:Real private fixed investment
NBER: NBER dating of recessions and expansions

All data are in the file senyuz-data.txt, which is an ASCII file in DOS
format. It is zipped in the file senyuz-data.zip. Unix/Linux users should
use "unzip -a".