Eric Ghysels, Robert E. McCulloch, and Ruey S. Tsay, "Bayesian Inference
for Periodic Regime-Switching Models", Journal of Applied Econometrics,
Vol. 13, No. 2, 1998, pp. 129-143.

This file describes the data used in the examples.  There are two
examples.  Section 3.1 uses housing starts data and section 3.2 uses
industrial production data.  Both data sets were obtained from the
Citibase data system.

The file hs.dat consists of monthly housing starts for single family
homes from 1964 to 1991.  There are 28 years of data giving 336
observations.  The first observation is January 1964.

The file ip.dat is the index of U.S. quarterly industrial production
from the first quarter of 1947 to the final quarter of 1991.

Both files are plain ASCII files (in DOS format), which are zipped in
the file gmt-data.zip.

Robert McCulloch
University of Chicago
Graduate School of Business
1101 East 58th St.
Chicago, IL, 60637

robert.mcculloch@gsb.uchicago.edu
phone: (773) 702-7315
fax: (773) 702-0458