Vito Polito and Michael Wickens, "Optimal Monetary Policy Using an Unrestricted VAR", Journal of Applied Econometrics, Vol. 27, No. 4, 2012, pp. 525-553. All data are in the file pw-data.txt, which is an ASCII file in DOS format. This file is zipped in the file pw-data.zip. Unix/Linux users should use "unzip -a". The dataset includes seasonally adjusted quarterly observations for the United States from 1964q2-2009q3 of the following six variables: INFL = CPI inflation GAP = deviations of real GDP from HP trend INFL_OIL = rate of change of oil prices in US $ R120 = 10 year bond rate R12 = Tbill 12 month FFR = fed funds rate (effective) All data are taken from Datasteam, except for oil inflation which has been taken from FRED. Prof. Michael R. Wickens Department of Economics and Related Studies University of York York YO10 5DD United Kingdom mrw4 [AT] york.ac.uk