Thomas F. Cooley and Masao Ogaki, "A Time Series Analysis of Real Wages,
Consumption, and Asset Returns: A Cointegration Euler Equation Approach," 
Journal of Applied Econometrics, Vol. 11, No. 2, 1996, pp. 119-134.

The data are in nine files, which are zipped in the file co-data.zip. 
These files are in DOS format.

QNRS91.DAT, Quarterly personal consumption expenditures, services
   1947.1-1990.4; first column: current dollars;  second column: 1982 dollars
   Source: National Income and Product Accounts

QNRFO91.DAT, Quarterly personal consumption expenditures, food
   1947.1-1990.4; first column: current dollars;  second column: 1982 dollars
   Source: National Income and Product Acconts

QNRTCE91.DAT, Quarterly personal consumption expenditures
   1947.1-1990.4; first column: current dollars;  second column: 1982 dollars
   Source: National Income and Product Acconts

QNRND91.DAT, Quarterly personal consumption expenditures, nondurable goods
   1947.1-1990.4; first column: current dollars;  second column: 1982 dollars
   Source: National Income and Product Acconts

MRET.DATQNRFO91.DAT, Monthly, 1926.1-1990.12
   first column: date  second column: Value Weighted Returns
   3rd col.: Value weighted dividend   4th col.: Equally weighted returns
   5th col.: Equally weighted dividend   6th col.: Market value
   Source: Center for Reserch in Security Prices

RSKFR91.DAT, Monthly, 1925.12-1990.12
   1st col.: date
   2nd col.: 1 month, bid
   3rd col.: 1 month, ave
   4th col.: 1 month, ask
   5th col.: 1 month, dur
   6th col.: 1 month, Issue used
   7th col.: 3 month, bid
   8th col.: 3 month, ave
   9th col.: 3 month, ask
  10th col.: 3 month, dur
  11th col.: 3 month, issue used
  Source: Center for Reserch in Security Prices, Fama/Bliss Risk Free Rates 
          File

CBYIELD.DAT  Monthly, 1947.1-1992.2
  1st col.: bond yield, Moody's BAA corporate ($ per annum)
  2nd col.: bond yield, Moody's AAA corporate ($ per annum)
  Source: Moody

QWAGEN92.DAT  Quarterly, 1947-1990.4
    Average hourly compenstation in non-agricultural employment constructed
    by the authors

MPOP91.DAT  Montly, 1947.1-1991.01
    1st col.: Population, total, inc. armed forces overseas
    2nd col.: population, total civilian noninstitutional