Bingduo Yang, Christian Hafner, Guannan Liu, and Wei Long, 
"Semiparametric Estimation and Variable Selection for Single-Index 
Copula Models", Journal of Applied Econometrics, Vol. 36, No. 7, 2021, 
pp. 962-988.

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The empirical part uses data from two sources.

1. The quarterly housing price index data are downloaded from Federal
Housing Finance Agency (https://www.fhfa.gov/DataTools/Downloads). All
50 states' quarterly housing price indices are provided, and we only
extract observations in AZ, CA, FL and NV. In HPI_AT_state.csv, the
first column denotes state, the second column denotes year, the third
column denotes quarter, and the fourth column denotes the price index
(1980Q1 = 100).

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2. The eight macroeconomic variables are downloadable from FRED,
Federal Reserve Economic Data (https://fred.stlouisfed.org/).
Specifically:

i). A067RL1Q156SBEA (Real Disposable Personal Income (1975Q2-2018Q1))

ii). UNRATENSA (Civilian Unemployment Rate (1975Q2-2018Q1))

iii). FEDFUNDS (Effective Federal Funds Rate (1975Q2-2018Q1))

iv). A939RX0Q048SBEA (Real gross domestic product per capita (1075Q2-2018Q1))

v). A011RE1Q156NBEA (Shares of gross domestic product: Gross private
    domestic investment: Fixed investment: Residential (1975Q2-2018Q1))

vi). CPIAUCSL (Consumer Price Index for All Urban Consumers: All Items
     (1975Q2-2018Q1))

vii). INDPRO (Industrial Production Index (1975Q2-2018Q1))

viii). WTISPLC (Spot Crude Oil Price: West Texas Intermediate (WTI)
       (1975Q2-2018Q1))

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All data files are .CSV files in DOS format. They are zipped in the
file yhll-data.zip. 

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List of data files:

HPI_AT_state.csv
A067RL1Q156SBEA.csv
UNRATENSA.csv
FEDFUNDS.csv
A939RX0Q048SBEA.csv
A011RE1Q156NBEA.csv
CPIAUCSL.csv
INDPRO.csv
WTISPLC.csv