Christopher L. Gilbert, "Modelling Market Fundamentals - A Model of the
Aluminium Market", Journal of Applied Econometrics, Vol. 10, No. 4,
1995, pp. 385-410. 

All of the following files are contained in the file gilbert.zip.

GAUSS files:

Data:      ALDAT.DAT
           ALDAT.DHT

Program:   AL2.PRG         estimates the model using data files as input
           ALSIM2.PRG      simulates model (Table 4 except rows H and I)
           ALVAR.PRG       estimates and simulates VAR model (Table 4, row H)
           ALVAR2.PRG      estimates and simulates VAR model (Table 4, row I)

This is a Gauss program. It requires the Gauss programming language from 
Aptech Systems, Inc.

ASCII file:

           ALDAT.ASC       file containing data in ASCII format

Description of data ALDAT.ASC

Data are in two blocks, variables loaded by column, with annual
data over period 1964-92.

Block 1

Column 1: Year
Column 2: Non-socialist world total production of refined
          aluminium
Column 3: Non-socialist world total consumption of refined
          aluminium
Column 4: Non-socialist world total stocks of refined aluminium
          (end year)
Column 5: Non-socialist world net imports of refined aluminium
          (i.e. imports from socialist countries)
Column 6: Non-socialist world secondary production of refined
          aluminium (i.e. production from scrap, data starts
          1970)

Block 2

Column 1: Year
Column 2: OECD Index of Industrial Production (all countries,
          1985=100)
Column 3: OECD Index of Construction Activity
Column 4: Aluminium price (year average, $/tonne)
Column 5: Dollar exchange rate index, corrected for deviations
          from Purchasing Power Parity (1985=1.000)

Data sources:

Block 1

World Bureau of Metal Statistics, World Metal Statistics (various
issues)

Block 2

Column 2

OECD, Indicators of Industrial Production (various issues)

Column 3

OECD, Main Economic Indicators (various issues), extrapolated
backwards using country construction indices.

Column 4

LME price from 1979 (source: World Bureau of Metal Statistics,
World Metal Statistics, various issues) converted to $/tonne
using year average œ/$ exchange rate (source: International
Monetary Fund, International Financial Statistics, various
issues).  Prior to 1979, the aluminium price is taken from Metal
Bulletin, "certain other transactions", with annual averages
constructed from fortnightly quotations, and converted to $/tonne
using the same exchange rate.

Column 5

Taken from C.L. Gilbert, "The impact of exchange rates and
developing country debt on commodity prices", Economic Journal,
99 (1989), 773-784; updated using information from International
Monetary Fund, International Financial Statistics, and OECD, Main
Economic Indicators (various issues).