Athanasopoulos, G., D. S. Poskitt, F. Vahid, and W. Yao,
"Determination of Long-Run and Short-Run Dynamics in EC-VARMA Models
via Canonical Correlations", Journal of Applied Econometrics,
Vol. 31, No. 6, 2016, pp. 1100-1119.

The file irs.txt contains 634 monthly observations on the three
interest rate series--US federal funds rate and 3-month and 6-month
treasury bill rates--from 1958:12 to 2011:09. It is an ASCII file in
DOS format, which is zipped in the file apvy-data.zip. Unix/Linux
users should use "unzip -a".