Tom Engsted and Niels Haldrup, "Estimating the LQAC model with I(2) 
variables", Journal of Applied Econometrics, Vol. 14, No. 2, 1999, pp. 
155-170. 

Data period: 1963:1-1989:2
Country	: United Kingdom

Series:

m:	Log of monetary aggregate M1, adjusted for known definitional breaks
p:	Log of Total final expenditure deflator
y:	Log of Total final expenditure, 1985 prices, constructed as real 
        GDP plus real imports.
R3:	3-month local authority interest rate, average of monthly values 
        in quarter.
Rra:	Learning adjusted interest rate on (M1) sterling retail sight 
        deposits at banks. (see Hendry-Ericsson for details)


Original source: David F. Hendry and Neil Ericsson, 1991, European Economic
Review 35, 833-86.

All data are in the file eh.data, which is in DOS format and is zipped in
the file eh-data.zip. The data are stored one row per observation, with
the columns ordered as above.