Taeyoung Doh, "Long-run Risks in the Term Structure of Interest Rates", 
Journal of Applied Econometrics, Vol. 28, No. 3, 2013, pp. 478-497.

This directory contains a technical appendix, doh-appendix.pdf, and the 
dataset it uses.

The appendix describes further details on the model solution and
estimation methodology. 

There are two datasets used in the estimation. The file named
"crsp.txt" contains data for consumption growth, inflation, and bond
yields from CRSP data (3month, 1, 2, 3, 4, 5 year bond yield) as
explained in the text. The sample period is 1953:Q1 - 2006:Q4. The
file named "altTS.txt" contains data for consumption growth and
inflation as well as alternative bond yield data from the Federal
Reserve Board (3month, 1, 3, 5, 10 year bond yield). The sample 
period is 1953:Q2-2006:Q4. 

Both data files are zipped in the file td-data.zip. Since they are
ASCII files in DOS format, Unix/Linux users should use "unzip -a".