Francesco Audrino and Marcelo C. Medeiros, "Modeling and Forecasting 
short-term Interest Rates: The Benefits of Smooth Regimes, Macroeconomic 
Variables, and Bagging", Journal of Applied Econometrics, Vol. 26,
No. 6, 2011, pp. 999-1022.

The data for this article are one-month and 60-month yields from the Fama
CRSP treasury bill and bond files.  The time period goes from January 1960
to December 2006 (for a total of 564 monthly observations). 

Additional macroeconomic indices for the same time period are downloaded
from Datastream International. In particular, we used CPI inflation and PPI
(finished goods) inflation, the index of help wanted advertising in
newspapers (denoted by HELP), the (seasonally adjusted) growth rate in
industrial production (IP), the unemployment rate (UE), and the US gross
domestic product (GDP).

There is one data file, which is an ASCII file in DOS format. This file,
amdata.txt, is zipped in the file amdata.zip. amdata.txt has nine columns
and 564 rows. Dates for the sample are listed in the first column.  The
variables (whose names appear in the first row of the text file) are as
follows:

  one-month yield, 60 month yield, HELP, CPI, PPI, IP, UE, GDP

Unix/Linux users should use "unzip -a".

Francesco Audrino
Department of Economics
University of St. Gallen, Switzerland

Marcelo C. Medeiros
Department of Economics
Pontifical Catholic University of Rio de Janeiro, Brazil