Anthony Garratt and Stephen G. Hall, "Measuring Underlying Economic
Activity", Journal of Applied Econometrics, Vol. 11, No. 2, 1996, pp.
135-152.

The data is in an ASCII file, handg.dat, in REG-X seqential format,
although this should be easy to edit for any other ascii input. The
data are defined in the file.

The REG-X sequential format is an ASCII format, so that it can be easily
read or edited.  It has the following form:  Each variable is a block
with the first line defining the number of the variable in the file, the
name of the variable, its dates (in the numeric form 5901 for the first
quarter of 1959) then a comment defining the series.  The file then
repeats this format for all the variables.

All data are quarterly,seasonally adjusted data for the UK for the
period 1959q1-1991q3. the data are

COIND :the coincident indicator of economic output derived in the paper
LGDP  :the natural log of real Gross domestic production
LIP   :the natural log of real industrial production
CBICU :the Confederation of British Industrie(CBI) survey measure of
       capacity utilisation
CBIRM :the CBI survey measure of expected changes in Stocks
LRES  :the natural log of real retail sales.

Below is an example of the format for one variable.

    1COIND     0 5901 9103    Derived indicator of underlying GDP
    92.17000000        96.20000000        100.2300000        104.8700000
    107.6700000        107.2000000        107.7300000        106.9700000
    106.3300000        105.3700000        102.0300000        98.20000000
(and so on)

In addition, we include the GAUSS program for the Geweke common factor
test used in the paper (comf.gss), a test input data set (stock2.dat) in
Gauss format, and the output file produced by running the gauss program
(factor.out).  The Gauss program has many comments.  Running it on the
stock2.dat file should produce factor.out.  This program requires the
Gauss libraries optmum.lcg and quantal.lcg.

All files are zipped in gh-data.zip.