Sandra Eickmeier, "Comovements and Heterogeneity in the Euro Area Analyzed in a Non-Stationary Factor Model", Journal of Applied Econometrics, Vol. 24, No. 6, 2009, pp. 933-959. The data and data description are contained in the accompanying file "datacomhet.xls". The data themselves are also found in the text file datacomhet.txt, which is an ASCII file in DOS format. Both files are zipped in the file se-data.zip. The sheet "data" contains a TxN matrix of data before removal of outliers, demeaning, standardizing, and making them stationary, where T = 91 (i.e. data span from 1981Q2 to 2003Q4) and N = 173. All series except for interest rates, current accounts and capacity utilization are already in logs. All series are already seasonally adjusted. The data were processed further prior to the estimation. For details, see section 2 and Table 1 of the paper. The sheet "data descr" contains a description of the data, the sources and whether they are difference stationary (Treatment = 1) or stationary (Treatment = 0). This information is repeated here: # Country/region Variable Treatment Source 1 AUT "GDP, volume, market prices " 1 "OECD - ECO" 2 "Government expenditure (without inventories)" 1 "OECD - ECO" 3 "Private final consumption expenditure" 1 "OECD - ECO" 4 "Private total fixed capital formation, volume " 1 "OECD - ECO" 5 "Industrial production ISIC C-E" 1 "OECD - MEI" 6 "Capacity utilization rate MFG (business tendency survey)" 0 "OECD - MEI" 7 "Total employment" 1 "OECD - ECO" 8 "Unit labor costs (business sector)" 1 "OECD - ECO" 9 Productivity 1 "OECD - ECO" 10 "Consumer price, harmonized " 1 "OECD - ECO" 11 "WPI all items - proxy" 1 "OECD - MEI" 12 "GDP, deflator, market prices " 1 "OECD - ECO" 13 "Short-term interest rate" 0 "OECD - ECO" 14 "Long-term interest rate (government bonds)" 0 "OECD - ECO" 15 M1 1 Bundesbank 16 M3 1 Bundesbank 17 "Main stock price index: VSE WBI index " 1 "OECD - ECO" 18 "Imports (goods & services), volume" 1 "OECD - ECO" 19 "Exports (goods & services), volume " 1 "OECD - ECO" 20 "Effective exchange rate real" 1 "IMF - IFS" 21 "Current account" 1 "OECD - ECO" 22 BEL "GDP, volume, market prices " 1 "OECD - ECO" 23 "Government expenditure (without inventories)" 1 "OECD - ECO" 24 "Private final consumption expenditure" 1 "OECD - ECO" 25 "Private total fixed capital formation, volume " 1 "OECD - ECO" 26 "Industrial production ISIC C-E" 1 "OECD - MEI" 27 "Capacity utilization rate MFG (business tendency survey)" 0 "OECD - MEI" 28 "Total employment" 1 "OECD - ECO" 29 "Unit labor costs (business sector)" 1 "OECD - ECO" 30 "Consumer price, harmonized " 1 "OECD - ECO" 31 "PPI manufactured goods" 1 "OECD - MEI" 32 "GDP deflator, market prices " 1 "OECD - ECO" 33 "Short-term interest rate" 0 "OECD - ECO" 34 "Long-term interest rate (government bonds)" 0 "OECD - ECO" 35 M1 1 Bundesbank 36 M3 1 Bundesbank 37 "Main stock price index: all shares index" 1 "OECD - MEI" 38 "Industrial confidence indicator, volume" 1 EU 39 "Imports (goods & services), volume" 1 "OECD - ECO" 40 "Exports (goods & services), volume " 1 "OECD - ECO" 41 "Effective exchange rate real" 1 "IMF - IFS" 42 "Current account" 1 "OECD - ECO" 43 FRA "GDP, volume, market prices " 1 "OECD - ECO" 44 "Government expenditure (without inventories)" 1 "OECD - ECO" 45 "Private final consumption expenditure" 1 "OECD - ECO" 46 "Private total fixed capital formation, volume " 1 "OECD - ECO" 47 "Industrial production ISIC C-E" 1 "OECD - MEI" 48 "Capacity utilization rate MFG (business tendency survey)" 0 "OECD - MEI" 49 "Total employment" 1 "OECD - ECO" 50 "Unit labor costs (business sector)" 1 "OECD - ECO" 51 Productivity 1 "OECD - ECO" 52 "Consumer price, harmonized " 1 "OECD - ECO" 53 "PPI manufactured goods" 1 "OECD - MEI" 54 "GDP deflator, market prices " 1 "OECD - ECO" 55 "Short-term interest rate" 0 "OECD - ECO" 56 "Long-term interest rate (government bonds)" 0 "OECD - ECO" 57 M1 1 Bundesbank 58 M3 1 Bundesbank 59 "Main stock price index: Paris Stock Exchange SBF 250" 1 "OECD - MEI" 60 "Industrial confidence indicator, volume" 1 EU 61 "Imports (goods & services), volume" 1 "OECD - ECO" 62 "Exports (goods & services), volume " 1 "OECD - ECO" 63 "Effective exchange rate real" 1 "IMF - IFS" 64 "Current account" 1 "OECD - ECO" 65 GER "GDP, volume, market prices " 1 Bundesbank 66 "Government consumption" 1 Bundesbank 67 "Private final consumption expenditure" 1 Bundesbank 68 "Private total fixed capital formation, volume " 1 Bundesbank 69 "Industrial production ISIC C-E" 1 "OECD - MEI" 70 "Capacity utilization rate MFG (business tendency survey)" 0 "OECD - MEI" 71 "Total employment" 1 Bundesbank 72 "Unit labor costs" 1 Bundesbank 73 Productivity 1 Bundesbank 74 "Consumer price, harmonized " 1 "OECD - ECO" 75 "PPI manufactured goods" 1 "OECD - MEI" 76 "GDP deflator, market prices " 1 Bundesbank 77 "Short-term interest rate" 0 "OECD - ECO" 78 "Long-term interest rate (government bonds)" 0 "OECD - ECO" 79 M1 1 Bundesbank 80 M3 1 " Bundesbank" 81 "Main stock price index: CDAX" 1 "OECD - MEI" 82 "Industrial confidence indicator, volume" 1 EU 83 "Imports (goods & services), volume" 1 "OECD - ECO" 84 "Exports (goods & services), volume " 1 "OECD - ECO" 85 "Effective exchange rate real" 1 "IMF - IFS" 86 "Current account" 1 "OECD - ECO" 87 ITA "GDP, volume, market prices " 1 "OECD - ECO" 88 Government expenditure (without inventories)" 1 "OECD - ECO" 89 Private final consumption expenditure" 1 "Banca D'Italia" 90 Private total fixed capital formation, volume " 1 "Banca D'Italia" 91 Industrial production ISIC C-E" 1 "OECD - MEI" 92 Capacity utilization rate MFG (business tendency survey)" 0 "OECD - MEI" 93 Total employment" 1 "OECD - ECO" 94 Unit labor costs (business sector)" 1 "OECD - ECO" 95 Consumer price, harmonized " 1 "OECD - ECO" 96 PPI total" 1 "OECD - MEI" 97 GDP deflator, market prices " 1 "Banca D'Italia" 98 Short-term interest rate" 0 "OECD - ECO" 99 Long-term interest rate (government bonds)" 0 "OECD - ECO" 100 M1 1 Bundesbank 101 M3 1 Bundesbank 102 "Main stock price index: ISE MIB Storico Generale " 1 "OECD - MEI" 103 "Industrial confidence indicator, volume" 1 "DS - EU" 104 "Imports (goods & services), volume" 1 "OECD - ECO" 105 "Exports (goods & services), volume " 1 "OECD - ECO" 106 "Effective exchange rate real" 1 "IMF - IFS" 107 "Current account" 1 "OECD - ECO" 108 NLD "GDP, volume, market prices " 1 "OECD - ECO" 109 "Government expenditure (without inventories)" 1 "OECD - ECO" 110 "Private final consumption expenditure" 1 "OECD - ECO" 111 "Private total fixed capital formation, volume " 1 "OECD - ECO" 112 "Industrial production ISIC C-E" 1 "OECD - MEI" 113 "Capacity utilization rate MFG (business tendency survey)" 0 "OECD - MEI" 114 "Total employment" 1 "OECD - ECO" 115 "Unit labor costs (business sector)" 1 "OECD - ECO" 116 Productivity 1 "OECD - ECO" 117 "Consumer price, harmonized " 1 "OECD - ECO" 118 "PPI manufacturing" 1 "OECD - MEI" 119 "GDP deflator, market prices " 1 "OECD - ECO" 120 "Short-term interest rate" 0 "OECD - ECO" 121 "Long-term interest rate (government bonds)" 0 "OECD - ECO" 122 M1 1 Bundesbank 123 M3 1 Bundesbank 124 "Main Stock Price Index" 1 " IMF - IFS, Dutch central bank" 125 "Industrial confidence indicator, volume" 1 EU 126 "Imports (goods & services), volume" 1 "OECD - ECO" 127 "Exports (goods & services), volume " 1 "OECD - ECO" 128 "Effective exchange rate real" 1 "IMF - IFS" 129 "Current account" 1 "OECD - ECO" 130 ESP "GDP, volume, market prices " 1 "OECD - ECO" 131 "Government final consumption expenditure" 1 "OECD - ECO" 132 "Private final consumption expenditure" 1 "OECD - ECO" 133 "Total fixed investment" 1 "OECD - ECO" 134 "Industrial production ISIC C-E" 1 "OECD - MEI" 135 "Capacity utilization rate MFG (business tendency survey)" 0 "OECD - MEI" 136 "Total employment" 1 "OECD - ECO" 137 "Unit labor costs (business sector)" 1 "OECD - ECO" 138 "Consumer price, harmonized " 1 "OECD - ECO" 139 "PPI manufacturing" 1 "OECD - MEI" 140 "GDP deflator, market prices " 1 "IMF - IFS" 141 "Short-term interest rate" 0 "OECD - ECO" 142 "Long-term interest rate (government bonds)" 0 "OECD - ECO" 143 M1 1 "OECD - ECO" 144 M3 1 "OECD - ECO" 145 "Main stock price index: MSE General Index" 1 "DS - MEI" 146 "Imports (goods & services), volume" 1 "OECD - ECO" 147 "Exports (goods & services), volume " 1 "OECD - ECO" 148 "Effective exchange rate real" 1 "IMF - IFS" 149 "Current account" 1 "OECD - ECO" 150 "World, euro-area (EA)" "World energy prices" 0 HWWA 151 "aggregates and other EMU " "World commodity prices without energy" 0 HWWA 152 "countries' output" "UK GDP, volume, market prices" 1 "OECD - ECO" 153 "and prices" "USA GDP, volume, market prices" 1 "OECD - ECO" 154 "Exchange rate Euro/USD" 1 "OECD - MEI" 155 "World Trade" 1 "OECD - MEI" 156 "Jap GDP" 1 "OECD - ECO" 157 "FIN GDP" 1 "OECD - MEI" 158 "FIN CPI" 1 "OECD - MEI" 159 "GRC GDP" 1 "OECD - MEI" 160 "GRC CPI" 1 "OECD - MEI" 161 "IRE GDP" 1 "OECD - MEI" 162 "IRE CPI" 1 "OECD - MEI" 163 "LUX GDP" 1 "OECD - MEI" 164 "LUX CPI" 1 "OECD - MEI" 165 "PRT GDP" 1 "OECD - MEI" 166 "PRT CPI" 1 "OECD - MEI" 167 "US CPI" 1 "OECD - MEI" 168 "US FFR" 0 "OECD - MEI" 169 "EA GDP" 1 "ECB - AWM" 170 "EA CPI" 1 "ECB - AWM" 171 "EA ST int" 0 "ECB - AWM" 172 "EA real wages" 1 "ECB - AWM" 173 "EA real investment" 1 "ECB - AWM" Notes: ECO refers to Economic Outlook, MEI to Main Economic Indicators, IFS to International Financial Statistics, ECB - AWM to the Area Wide Model of the ECB, HWWA to the Hamburg Weltwirtschaftsarchiv, and EU to the European Commission.