Gregory, Haug and Lomuto, 2004
Data Guide
**************************************
Name of Data File: amano_wirjanto96.dat
Citation: Amano, R.A., and Wirjanto, T.S. (1996), "Money Stock
Targeting and Money Supply: A Closer Examination of the
Data," Journal of Applied Econometrics, 11, 93-104.
Geographic Area: Canada
Time Span: 1971:1 to 1992:4
Frequency: Quarterly
Seasonally Adjusted: Not stated in original article
Variables (in order from left to right in data file) Levels Logs
---------------------------------------------------
Year and quarter Date
OECD GDP (represents aggregate foreign demand) gdpl
US export prices pexpl
End-of-period M1 M1l
End-of-period M2 M2l
End-of-period base money basel
Industrialized countries export prices impl
End-of-period US 3-month t-bill rate tbill
**************************************
Name of Data File: anderson_vahid_1_97.dat
Citation: Anderson, H.M., and Vahid, F. (1997), "On the
Correspondence Between Individual and Aggregate Food
Consumption Functions: Evidence from the USA and the
Netherlands," Journal of Applied Econometrics, 12, 477-507.
Geographic Area: US
Time Span: 1913 to 1941
Frequency: Annual
Seasonally Adjusted: No
Variables (in order from left to right in data file) Levels Logs
---------------------------------------------------
Year Date
Per capita food consumption tobpcfcl
Per capita disposable income tobpcyl
Food price index tobfpl
Non-food price index tobnfpl
Per capita disposable income squared tobpcysq
Per household food consumption tobphfcl
Per household disposable income tobphyl
Average number of persons per household popnohl
Per household disposable income squared tobphysq
**************************************
Name of Data File: anderson_vahid_2_97.dat
Citation: Anderson, H.M., and Vahid, F. (1997), "On the
Correspondence Between Individual and Aggregate Food
Consumption Functions: Evidence from the USA and the
Netherlands," Journal of Applied Econometrics, 12, 477-507.
Geographic Area: US
Time Span: 1948 to 1989
Frequency: Annual
Seasonally Adjusted: No
Variables (in order from left to right in data file) Levels Logs
---------------------------------------------------
Year Date
Real expenditure on food per household cl
Nominal income per household yl
Food price index fpl
Non-food price index nfpl
Average number of persons per household popnohl
**************************************
Name of Data File: anderson_vahid_3_97.dat
Citation: Anderson, H.M., and Vahid, F. (1997), "On the
Correspondence Between Individual and Aggregate Food
Consumption Functions: Evidence from the USA and the
Netherlands," Journal of Applied Econometrics, 12, 477-507.
Geographic Area: Netherlands
Time Span: 1948 to 1988
Frequency: Annual
Seasonally Adjusted: No
Variables (in order from left to right in data file) Levels Logs
---------------------------------------------------
Year Date
Per thousand capita real expenditure on food consumption rfcl
Per thousand capita nominal income yl
Food price index fpl
Non-food price index nfpl
**************************************
Name of Data File: bearse_bozdogan_schlottmann_1_97.dat
Citation: Bearse, P.M., Bozdogan, H., and Schlottmann, A.M. (1997),
"Empirical Econometric Modeling of Food Consumption Using
a New Informational Complexity Approach," Journal of
Applied Econometrics, 12, 563-592.
Geographic Area: US
Time Span: 1913 to 1947
Frequency: Annual
Seasonally Adjusted: No
Variables (in order from left to right in data file) Levels Logs
---------------------------------------------------
Year Date
Per capita food consumption (quantity) cl
Food price index fpl
Non-food price index npl
Nominal per capita disposable income (lagged once) y1lag
**************************************
Name of Data File: bearse_bozdogan_schlottmann_2_97.dat
Citation: Bearse, P.M., Bozdogan, H., and Schlottmann, A.M.(1997),
"Empirical Econometric Modeling of Food Consumption Using
a New Informational Complexity Approach," Journal of
Applied Econometrics, 12, 563-592.
Geographic Area: US
Time Span: 1913 to 1976
Frequency: Annual
Seasonally Adjusted: No
Variables (in order from left to right in data file) Levels Logs
---------------------------------------------------
Year Date
Per capita food consumption pcfcl
Per capita disposable income pcyl1
Food price index fpl1
Non-food price index nfpl2
**************************************
Name of Data File: bearse_bozdogan_schlottmann_3_97.dat
Citation: Bearse, P.M., Bozdogan, H., and Schlottmann, A.M. (1997),
"Empirical Econometric Modeling of Food Consumption Using
a New Informational Complexity Approach," Journal of
Applied Econometrics, 12, 563-592.
Geographic Area: Netherlands
Time Span: 1948 to 1988
Frequency: Annual
Seasonally Adjusted: No
Variables (in order from left to right in data file) Levels Logs
---------------------------------------------------
Year Date
Per capita nominal food expenditure lagged twice cl2
Aggregate nominal income per capita yl
Price of food fpl
Non-food price index npl
**************************************
Name of Data File: bernard_durlauf95.dat
Citation: Bernard, A.B., and Durlauf, S.N. (1995), "Convergence in
International Output," Journal of Applied Econometrics, 10,
97-108.
Geographic Area: Austria, Belgium, Denmark, Finland, France, Germany, Italy, Netherlands, Norway, Sweden, United Kingdom
Time Span: 1900 to 1987
Frequency: Annual
Seasonally Adjusted: No
Variables (in order from left to right in data file) Levels Logs
---------------------------------------------------
Year Date
Real GDP per capita for . . .
Austria austl
Belgium bell
Denmark denl
Finland finl
France frl
Germany gerl
Italy italyl
Netherlands netherl
Norway norl
Sweden swedl
United Kingdom ukl
**************************************
Name of Data File: beyer98.dat
Citation: Beyer, A. (1998), "Modeling Money Demand in Germany,"
Journal of Applied Econometrics, 13, 57-76.
Geographic Area: Germany
Time Span: 1975:1 to 1994:4
Frequency: Quarterly
Seasonally Adjusted: Some variables are adjusted
Variables (in order from left to right in data file) Levels Logs
---------------------------------------------------
Year and quarter Date
Real M3, seasonally adjusted msubp
Real M3, not seasonally adjusted msubpnsa
Real GDP, seasonally adjusted ysal
Real GDP, not seasonally adjusted ynsal
Frankfurt three-month funds money market rate rs
Yield on public debt securities outstanding rl
Dummy variable for Quarter 1, 1990 dum1
Dummy variable for Quarter 1, 1991 dum2
Dummy variable for Quarter 2, 1990 dum3
Dummy variable for Quarter 4, 1990 dum4
Dummy variable for Quarter 1, 1992 dum5
Inflation rate, seasonally adjusted infsa2
Inflation rate, not seasonally adjusted infnsa2
**************************************
Name of Data File: clements_hendry95.dat
Citation: Clements, M.P., and Hendry, D.F. (1995), "Forecasting in
Cointegrated Systems," Journal of Applied Econometrics, 10,
127-146.
Geographic Area: United Kingdom
Time Span: 1963:1 to 1989:2
Frequency: Quarterly
Seasonally Adjusted: Yes
Variables (in order from left to right in data file) Levels Logs
---------------------------------------------------
Year and quarter Date
Opportunity cost of holding money, learning adjusted rn
Velocity of circulation v
**************************************
Name of Data File: clements_hendry96.dat
Citation: Clements, M.P., and Hendry, D.F. (1996), "Intercept
Corrections and Structural Change," Journal of Applied
Econometrics, 11, 475-494.
Geographic Area: United Kingdom
Time Span: 1965:1 to 1993:1
Frequency: Quarterly
Seasonally Adjusted: Not stated in original article
Variables (in order from left to right in data file) Levels Logs
---------------------------------------------------
Year and quarter Date
Earnings per man-hour e
Retail price index r
Unemployment rate u
****************************************
Name of Data File: cooley_ogaki96.dat
Citation: Cooley, T.F., and Ogaki, M. (1996), "A Time Series Analysis
of Real Wages, Consumption, and Asset Returns," Journal of
Applied Econometrics, 11, 119-34.
Geographic Area: US
Time Span: 1947:1 to 1990:4
Frequency: Quarterly
Seasonally Adjusted: Yes
Variables (in order from left to right in data file) Levels Logs
---------------------------------------------------
Year and quarter Date
Real per capita consumption food foodpc
Real per capita consumption non-durables ndpc
Real per capita consumption non-durables plus services ndspc
Real wages deflated by food prices wagefood
Real wages deflated by non-durables prices wagend
Real wages deflated by non-durables plus services wagends
****************************************
Name of Data File: cubadda_1_99.dat
Citation: Cubadda, G. (1999), "Common Cycles in Seasonal
Non-stationary Time Series," Journal of Applied Econometrics,
14, 273-291.
Geographic Area: Italy
Time Span: 1970:1 to 1996:1
Frequency: Quarterly
Seasonally Adjusted: Yes
Variables (in order from left to right in data file) Levels Logs
---------------------------------------------------
Year and quarter Date
Seasonally adjusted consumption of non-durables and services c_sa
Seasonally adjusted gross domestic product y_sa
****************************************
Name of Data File: cubadda_2_99.dat
Citation: Cubadda, G. (1999), "Common Cycles in Seasonal
Non-stationary Time Series," Journal of Applied Econometrics,
14, 273-291.
Geographic Area: Italy
Time Span: 1970 to 1995
Frequency: Annual
Seasonally Adjusted: No
Variables (in order from left to right in data file) Levels Logs
---------------------------------------------------
Year Date
Consumption of non-durables and services c
Gross domestic product y
**************************************
Name of Data File: decrombrugghe_palm_urbain_1_97.dat
Citation: De Crombrugghe, D., Palm, F.C., and Urbain, J.P. (1997),
"Statistical Demand Functions for Food in the USA and the
Netherlands," Journal of Applied Econometrics, 12, 615-645.
Geographic Area: US
Time Span: 1913 to 1941
Frequency: Annual
Seasonally Adjusted: No
Variables (in order from left to right in data file) Levels Logs
---------------------------------------------------
Year Date
Per capita food consumption (quantity) ctl
Real per capita disposable income yovpl
Food price index tobpfl
Income deflator pyal
**************************************
Name of Data File: decrombrugghe_palm_urbain_2_97.dat
Citation: De Crombrugghe, D., Palm, F.C., and Urbain, J.P. (1997),
"Statistical Demand Functions for Food in the USA and the
Netherlands," Journal of Applied Econometrics, 12, 615-645.
Geographic Area: US
Time Span: 1947 to 1989
Frequency: Annual
Seasonally Adjusted: No
Variables (in order from left to right in data file) Levels Logs
---------------------------------------------------
Year Date
Real per capita personal food expenditure ct2l
Real per capita disposable income yovp2l
Food price index pf2l
Income deflator pyl
**************************************
Name of Data File: decrombrugghe_palm_urbain_3_97.dat
Citation: De Crombrugghe, D., Palm, F.C., and Urbain, J.P. (1997),
"Statistical Demand Functions for Food in the USA and the
Netherlands," Journal of Applied Econometrics, 12, 615-645.
Geographic Area: Netherlands
Time Span: 1948 to 1988
Frequency: Annual
Seasonally Adjusted: No
Variables (in order from left to right in data file) Levels Logs
---------------------------------------------------
Year Date
Real per capita personal food expenditure cl
Real per capita disposable income yovp
Food price index (first difference) pfovpy
Income deflator (first difference) pfld
**************************************
Name of Data File: delacroix_urbain_1_98.dat
Citation: De La Croix, D., and Urbain, J.P. (1998), "Intertemporal
Substitution in Import Demand and Habit Formation," Journal
of Applied Econometrics, 13, 589-612.
Geographic Area: US
Time Span: 1970:1 to 1994:1
Frequency: Quarterly
Seasonally Adjusted: Yes
Variables (in order from left to right in data file) Levels Logs
---------------------------------------------------
Year and quarter Date
Imported non-durable consumption goods (volume) cml
Domestically produced non-durable consumption goods (volume) cdl
Ratio of domestic to import prices pl
**************************************
Name of Data File: delacroix_urbain_2_98.dat
Citation: De La Croix, D., and Urbain, J.P. (1998), "Intertemporal
Substitution in Import Demand and Habit Formation," Journal
of Applied Econometrics, 13, 589-612.
Geographic Area: France
Time Span: 1967:1 to 1994:3
Frequency: Quarterly
Seasonally Adjusted: Yes
Variables (in order from left to right in data file) Levels Logs
---------------------------------------------------
Year and quarter Date
Imported non-durable consumption goods (volume) cml
Domestically produced non-durable consumption goods (volume) cdl
Ratio of domestic to import prices pl
**************************************
Name of Data File: engsted_haldrup_1_94.dat
Citation: Engsted, T., and Haldrup, N. (1994), "The Linear Quadratic
Adjustment Cost Model and the Demand for Labour," Journal
of Applied Econometrics, 9, S145-S159.
Geographic Area: Denmark
Time Span: 1974:1 to 1990:4
Frequency: Quarterly
Seasonally Adjusted: No
Variables (in order from left to right in data file) Levels Logs
---------------------------------------------------
Year and quarter Date
Number of employed manual laborers ll
Real product wages wl
Real sales yl
Real raw material prices pl
Note: This data from this file are for SIC 31, Manufacture of food, beverages and tobacco.
**************************************
Name of Data File: engsted_haldrup_2_94.dat
Citation: Engsted, T., and Haldrup, N. (1994), "The Linear Quadratic
Adjustment Cost Model and the Demand for Labour," Journal
of Applied Econometrics, 9, S145-S159.
Geographic Area: Denmark
Time Span: 1974:1 to 1990:4
Frequency: Quarterly
Seasonally Adjusted: No
Variables (in order from left to right in data file) Levels Logs
---------------------------------------------------
Year and quarter Date
Number of employed manual laborers ll
Real product wages wl
Real sales yl
Real raw material prices pl
Note: This data from this file are for SIC 35: Manufacture of chemicals, etc.
**************************************
Name of Data File: engsted_haldrup_3_94.dat
Citation: Engsted, T., and Haldrup, N. (1994), "The Linear Quadratic
Adjustment Cost Model and the Demand for Labour," Journal
of Applied Econometrics, 9, S145-S159.
Geographic Area: Denmark
Time Span: 1974:1 to 1990:4
Frequency: Quarterly
Seasonally Adjusted: No
Variables (in order from left to right in data file) Levels Logs
---------------------------------------------------
Year and quarter Date
Number of employed manual laborers ll
Real product wages wl
Real sales yl
Real raw material prices pl
Dummy variable for Quarter 1, 1985 Dum
Note: This data from this file are for SIC 39: Other industries.
**************************************
Name of Data File: garratt_hall96.dat
Citation: Garratt, A., and Hall, S.G. (1996), "Measuring Underlying
Economic Activity," Journal of Applied Econometrics, 11,
135-151.
Geographic Area: United Kingdom
Time Span: 1959:1 to 1991:3
Frequency: Quarterly
Seasonally Adjusted: Yes
Variables (in order from left to right in data file) Levels Logs
---------------------------------------------------
Year and quarter Date
GDP average income at factor cost lgdp
Output of production industries lip
Below capacity utilization lres
**************************************
Name of Data File: gil-alana_robinson_1_2001.dat
Citation: Gil-Alaña, L.A., and Robinson, P.M. (2001), "Testing of
Seasonal Fractional Integration in UK and Japanese
Consumption and Income," Journal of Applied Econometrics,
16, 95-114.
Geographic Area: United Kingdom
Time Span: 1955 to 1984
Frequency: Annual
Seasonally Adjusted: No
Variables (in order from left to right in data file) Levels Logs
---------------------------------------------------
Year Date
Total real consumption c
Real disposable income y
**************************************
Name of Data File: gil-alana_robinson_2_2001.dat
Citation: Gil-Alaña, L.A., and Robinson, P.M. (2001), "Testing of
Seasonal Fractional Integration in UK and Japanese
Consumption and Income," Journal of Applied Econometrics,
16, 95-114.
Geographic Area: Japan
Time Span: 1961 to 1987
Frequency: Annual
Seasonally Adjusted: No
Variables (in order from left to right in data file) Levels Logs
---------------------------------------------------
Year Date
Total real consumption c
Real disposable income y
**************************************
Name of Data File: hai_mark_wu97.dat
Citation: Hai, W., Mark, C.N., and Wu, Y. (1997), "Understanding Spot
and Forward Exchange Rate Regressions," Journal of Applied Econometrics, 12, 715-734.
Geographic Area: United Kingdom, France, Japan
Time Span: 1976:1 to 1992:8
Frequency: Monthly
Seasonally Adjusted: No
Variables (in order from left to right in data file) Levels Logs
---------------------------------------------------
Year and month Date
Spot rate 1 month after 1 month forward rate for . . .
United Kingdom spotuk11
France spotfr11
Japan spotyen11
Spot rate 3 months after 3 month forward rate for . . .
United Kingdom spotuk3l
France spotfr3l
Japan spotyen3l
1 month forward rate for . . .
United Kingdom for1ukl
France for1frl
Japan for1yenl
3 month forward rate for . . .
United Kingdom for3ukl
France for3frl
Japan for3yenl
***************************************
Name of Data File: hall_psaradakis_sola97.dat
Citation: Hall, S.G., Psaradakis, Z., and Sola, M. (1997),
"Cointegration and Changes in Regime: The Japanese
Consumption Function," Journal of Applied Econometrics, 12,
151-168.
Geographic Area: Japan
Time Span: 1961:1 to 1987:4
Frequency: Quarterly
Seasonally Adjusted: Yes
Variables (in order from left to right in data file) Levels Logs
---------------------------------------------------
Year and quarter Date
Quarterly real total private consumption cl
Quarterly real disposable income yl
Yearly real total private consumption cll
Yearly real disposable income yll
*****************************************
Name of Data File: hobijn_franses00.dat
Citation: Hobijn, B. and Franses, P.H. (2000), "Asymptotically Perfect
and Relative Convergence of Productivity," Journal of Applied Econometrics, 15, 59-81.
Geographic Area: Countries listed in Penn World Tables
Time Span: 1960-1989
Frequency: Annual
Seasonally Adjusted: No
Variables (in order from left to right in data file) Levels Logs
---------------------------------------------------
Year Date
Angola ago
Argentina arg
Australia aus
Austria aut
Burundi bdi
Belgium bel
Benin ben
Bangladesh bgd
Bolivia bol
Brazil bra
Barbados brb
Myanmar bur
Botswana bwa
Central African Rep. caf
Canada can
Switzerland che
Chile chl
Ivory Coast civ
Cameroon cmr
Congo cog
Colombia col
Cape Verde Is. cpv
Costa Rica cri
Czechoslovakia csk
Cyprus cyp
West Germany deu
Denmark dnk
Dominican Rep. dom
Algeria dza
Ecuador ecu
Egypt egy
Spain esp
Finland fin
Fiji fji
France fra
Gabon gab
United Kingdom gbr
Ghana gha
Guinea gin
Gambia gmb
Guinea-Bissau gnb
Greece grc
Guatemala gtm
Guyana guy
Hong Kong hkg
Honduras hnd
Haiti hti
Burkina Faso hvo
Indonesia idn
India ind
Ireland irl
Iran irn
Iceland isl
Israel isr
Italy ita
Jamaica jam
Jordan jor
Japan jpn
Kenya ken
Korea kor
Sri Lanka lka
Lesotho lso
Luxembourg lux
Morocco mar
Madagascar mdg
Mexico mex
Mali mli
Malta mlt
Mozambique moz
Mauritania mrt
Mauritius mus
Malawi mwi
Malaysia mys
Namibia nam
Niger ner
Nigeria nga
Netherlands nld
Norway nor
New Zealand nzl
Pakistan pak
Panama pan
Peru per
Phillipines phl
Papua N. Guinea png
Puerto Rico pri
Portugal prt
Paraguay pry
Rwanda rwa
Senegal sen
Singapore sgp
El Salvador slv
Somalia som
Suriname sur
Sweden swe
Swaziland swz
Seychelles syc
Syria syr
Tcad tcd
Togo tgo
Thailand tha
Trinidad/Tobago tto
Tunisia tun
Turkey tur
Uganda uga
Uruguay ury
US usa
Venezuela ven
Former Yugoslavia yug
South Africa zaf
Zaire zar
Zambia zmb
Zimbabwe zwe
**************************************
Name of Data File: hodgson99.dat
Citation: Hodgson, D.J. (1999), "Adaptive Estimation of Cointegrated
Models: Simulation Evidence and an Application to the
Forward Exchange Market," Journal of Applied Econometrics,
14, 627-650.
Geographic Area: Canada
Time Span: November 19, 1990 to June 30, 1993
Frequency: Daily
Seasonally Adjusted: No
Variables (in order from left to right in data file) Levels Logs
---------------------------------------------------
Year, month and day Date
90-day Canada-U.S. noon forward exchange rate forwl
Spot rate on day forward contract delivered spotl
****************************************
Name of Data File: hoffman_rasche_1_96.dat
Citation: Hoffman, D.L., and Rasche, R.H. (1996), "Assessing Forecast
Performance in a Cointegrated System," Journal of Applied
Econometrics, 11, 495-517.
Geographic Area: US
Time Span: 1954:1 to 1994:4
Frequency: Quarterly
Seasonally Adjusted: Yes
Variables (in order from left to right in data file) Levels Logs
---------------------------------------------------
Year and quarter Date
Real M1 stock m1reall
Inflation rate (first difference of logarithm of price levels) inf
Commercial paper rate fycpq
Treasury bill rate fygn3q
Real GDP in billions of 1987 dollars gdpql
****************************************
Name of Data File: hoffman_rasche_2_96.dat
Citation: Hoffman, D.L., and Rasche, R.H. (1996), "Assessing Forecast
Performance in a Cointegrated System," Journal of Applied
Econometrics, 11, 495-517.
Geographic Area: US
Time Span: 1954:1 to 1993:4
Frequency: Quarterly
Seasonally Adjusted: No
Variables (in order from left to right in data file) Levels Logs
---------------------------------------------------
Year and quarter Date
Inflation rate (first difference of logarithm of price levels) inf
Commercial paper rate fycpq
Treasury bill rate fygn3q
Real M1 stock not seasonally adj. m1nsal
Nominal GDP in billions of dollars, not seasonally adj. gdpnl
****************************************
Name of Data File: hoffman_rasche_3_96.dat
Citation: Hoffman, D.L., and Rasche, R.H. (1996), "Assessing Forecast
Performance in a Cointegrated System," Journal of Applied
Econometrics, 11, 495-517.
Geographic Area: US
Time Span: 1970:2 to 1994:2
Frequency: Quarterly
Seasonally Adjusted: Yes
Variables (in order from left to right in data file) Levels Logs
---------------------------------------------------
Year and quarter Date
Real M1 stock m1reall
Inflation rate (first difference of logarithm of price levels) inf
Real GDP in billions of 1987 dollars gdpql
Commericial paper rate adjusted for own rate of interest comadj
Treasury bill rate adjusted for own rate of interest tbadj
****************************************
Name of Data File: kilian99.dat
Citation: Kilian, L. (1999), "Exchange Rates and Monetary Fundamentals:
What Do We Learn from Long-Horizon Regressions?," Journal of
Applied Econometrics, 14, 491-510.
Geographic Area: Canada, Germany, Japan, Switzerland
Time Span: 1973:1 to 1997:1
Frequency: Quarterly
Seasonally Adjusted: Not stated in original article
Variables (in order from left to right in data file) Levels Logs
---------------------------------------------------
Year and quarter Date
Spot exchange rate, Canadian dollars scd
Spot exchange rate, German mark sgm
Spot exchange rate, Japanese yen sjy
Spot exchange rate, Swiss franc ssf
Fundamental value, Candian dollars fcd
Fundamental value, German mark fgm
Fundamental value, Japanese yen fjy
Funadmental value, Swiss franc fsf
****************************************
Name of Data File: kim_lee01.dat
Citation: Kim, H.Y., and Lee, J. (2001), "Quasi-Fixed Inputs and Long
-Run Equilibrium in Production: A Cointegration Analysis,"
Journal of Applied Econometrics, 16, 41-57.
Geographic Area: US
Time Span: 1952 to 1981
Frequency: Annual
Seasonally Adjusted: No
Variables (in order from left to right in data file) Levels Logs
---------------------------------------------------
Year Date
Labor lnl
Optimal equilibrium level of labor lnls
Capital lnk
Optimal equilibrium level of capital lnks
Market rental price of labor lnpl
Shadow price of labor lnpls
Market rental price of capital lnpk
Shadow price of capital lnpks
**************************************
Name of Data File: lanne_1_00.dat
Citation: Lanne, M. (2000), "Near Unit Roots, Cointegration, and the
Term Structure of Interest Rates," Journal of Applied
Econometrics, 15, 513-529.
Geographic Area: US
Time Span: 1952:1 to 1979:9
Frequency: Monthly
Seasonally Adjusted: No
Variables (in order from left to right in data file) Levels Logs
---------------------------------------------------
Year and month Date
US zero coupon yield with maturity of. . .
One month r1
Two months r2
Three months r3
Six months r6
Twelve months r12
Twenty-four months r24
Thirty-six months r36
Sixty months r60
One hundred and twenty months r120
Note: The yields are expressed as percentages per year using
continuous-compounding.
**************************************
Name of Data File: lanne_2_00.dat
Citation: Lanne, M. (2000), "Near Unit Roots, Cointegration, and the
Term Structure of Interest Rates," Journal of Applied
Econometrics, 15, 513-529.
Geographic Area: US
Time Span: 1979:10 to 1991:2
Frequency: Monthly
Seasonally Adjusted: No
Variables (in order from left to right in data file) Levels Logs
---------------------------------------------------
Year and month Date
US zero coupon yield with maturity of. . .
One month r1
Two months r2
Three months r3
Six months r6
Twelve months r12
Twenty-four months r24
Thirty-six months r36
Sixty months r60
One hundred and twenty months r120
Note: The yields are expressed as percentages per year using continuous-compounding.
**************************************
Name of Data File: lin_tsay_1_96.dat
Citation: Lin, J., and Tsay, R.S. (1996), "Cointegration Constraint
and Forecast Empirical Examination," Journal of Applied
Econometrics, 11, 519-538.
Geographic Area: Canada, France, Germany, Japan, and United Kingdom
Time Span: 1957:1 to 1993:5
Frequency: Monthly
Seasonally Adjusted: No
Variables (in order from left to right in data file) Levels Logs
---------------------------------------------------
Year and month Date
Monthly exchange rates for . . .
Canada canex
France frex
Germany gerex
Japan yenex
United Kingdom ukex
Note: The first four series are in terms of US dollars. The last series is in US cents.
**************************************
Name of Data File: lin_tsay_2_96.dat
Citation: Lin, J., and Tsay, R.S. (1996), "Cointegration Constraint
and Forecast Empirical Examination," Journal of Applied
Econometrics, 11, 519-538.
Geographic Area: Taiwan
Time Span: 1961:3 to 1989:6
Frequency: Monthly
Seasonally Adjusted: No
Variables (in order from left to right in data file) Levels Logs
---------------------------------------------------
Year and month Date
Taiwan time deposit interest rates for . . .
1 month r1
3 months r3
6 months r6
**************************************
Name of Data File: lin_tsay_3_96.dat
Citation: Lin, J., and Tsay, R.S. (1996), "Cointegration Constraint
and Forecast Empirical Examination," Journal of Applied
Econometrics, 11, 519-538.
Geographic Area: US
Time Span: 1959:1 to 1993:2
Frequency: Monthly
Seasonally Adjusted: No
Variables (in order from left to right in data file) Levels Logs
---------------------------------------------------
Year and month Date
US interest rates on Treasury Bills and Treasury Notes for . . .
3 months tb1
6 months tb3
1 year tn1
3 year tn3
**************************************
Name of Data File: lin_tsay_4_96.dat
Citation: Lin, J., and Tsay, R.S. (1996), "Cointegration Constraint
and Forecast Empirical Examination," Journal of Applied
Econometrics, 11, 519-538.
Geographic Area: Canada, France, Japan, United Kingdom, and the US
Time Span: 1967:1 to 1993:2
Frequency: Monthly
Seasonally Adjusted: No
Variables (in order from left to right in data file) Levels Logs
---------------------------------------------------
Year and month Date
Government bond yields for . . .
Canada (3-5 years) bondca
France (short term) bondfr
Japan (short term) bondyen
United Kingdom (short term) bonduk
US (3 years) bondus
**************************************
Name of Data File: lin_tsay_5_96.dat
Citation: Lin, J., and Tsay, R.S. (1996), "Cointegration Constraint
and Forecast Empirical Examination," Journal of Applied
Econometrics, 11, 519-538.
Geographic Area: Canada, France, Germany, Japan, and the United Kingdom
Time Span: 1974:1 to 1993:3
Frequency: Monthly
Seasonally Adjusted: Yes
Variables (in order from left to right in data file) Levels Logs
---------------------------------------------------
Year and month Date
Month total exports from US to . . .
Canada expca
France expfr
Germany expger
Japan expyen
United Kingdom expuk
**************************************
Name of Data File: lin_tsay_6_96.dat
Citation: Lin, J., and Tsay, R.S. (1996), "Cointegration Constraint
and Forecast Empirical Examination," Journal of Applied
Econometrics, 11, 519-538.
Geographic Area: Canada, France, Germany, Japan, and the United Kingdom
Time Span: 1974:1 to 1993:3
Frequency: Monthly
Seasonally Adjusted: Yes
Variables (in order from left to right in data file) Levels Logs
---------------------------------------------------
Year and month Date
Monthly total imports to US from . . .
Canada impca
France impfr
Germany impger
Japan impyen
United Kingdom impuk
**************************************
Name of Data File: lin_tsay_7_96.dat
Citation: Lin, J., and Tsay, R.S. (1996), "Cointegration Constraint
and Forecast Empirical Examination," Journal of Applied
Econometrics, 11, 519-538.
Geographic Area: Canada, Germany, Japan, United Kingdom, and the US
Time Span: 1957:1 to 1993:12
Frequency: Monthly
Seasonally Adjusted: No
Variables (in order from left to right in data file) Levels Logs
---------------------------------------------------
Year and month Date
Monthly industrial production index for . . .
Canada prodca
Germany prodger
Japan prodyen
US produs
United Kingdom produk
****************************************
Name of Data File: lin95.dat
Citation: Lin, W. (1995), "Japan's Financial Deregulation and Linkage
of the Gensaki and Euroyen Deposit Markets," Journal of
Applied Econometrics, 10, 447-467.
Geographic Area: Japan
Time Span: Jan 7, 1981 to August 7, 1985
Frequency: Weekly
Seasonally Adjusted: No
Variables (in order from left to right in data file) Levels Logs
---------------------------------------------------
Year and week Date
Euroyen 1 month deposit rate ey1
Euroyen 3 month deposit rate ey3
Gensaki 1 month rate gen1
Gensaki 3 month rate gen3
*Shows the date for Thursday of the week corresponding to the rates
**************************************
Name of Data File: lutkepohl_terasvirta_wolters_1_99.dat
Citation: Lütkepohl, H., Teräsvirta, T., and Wolters, J. (1999),
"Investigating Stability and Linearity of a German M1
Money Demand Function," Journal of Applied Econometrics,
14, 511-525.
Geographic Area: Germany
Time Span: 1960:1 to 1990:2
Frequency: Quarterly
Seasonally Adjusted: No
Variables (in order from left to right in data file) Levels Logs
---------------------------------------------------
Year and quarter Date
Real per capita M1 m
Real per capita GNP y
Long term interest rate r
First difference of GNP price index pd
**************************************
Name of Data File: lutkepohl_terasvirta_wolters_2_99.dat
Citation: Lütkepohl, H., Teräsvirta, T., and Wolters, J. (1999),
"Investigating Stability and Linearity of a German M1
Money Demand Function," Journal of Applied Econometrics,
14, 511-525.
Geographic Area: Germany
Time Span: 1960:1 to 1995:4
Frequency: Quarterly
Seasonally Adjusted: No
Variables (in order from left to right in data file) Levels Logs
---------------------------------------------------
Year and quarter Date
Real per capita M1 m
Real per capita GNP y
Real per capita GNP after 1990:3 ystar
Long term interest rate r
First difference of GNP price index pd
Seasonal dummy for season 1 after 1990:3 s1d
Seasonal dummy for season 2 after 1990:3 s2d
Seasonal dummy for season 3 after 1990:3 s3d
**************************************
Name of Data File: martens_kofman_vorst_1_98.dat
Citation: Martens, M., Kofman, P., and Vorst, T.C.F. (1998), "A
Threshold Error-Correction Model for Intraday Futures
And Index Returns," Journal of Applied Econometrics, 13,
245-263.
Geographic Area: US
Time Span: May 1993
Frequency: Every 15 seconds
Seasonally Adjusted: No
Variables (in order from left to right in data file) Levels Logs
---------------------------------------------------
Matching index futures contract fl
S&P 500 index sl
**************************************
Name of Data File: martens_kofman_vorst_2_98.dat
Citation: Martens, M., Kofman, P., and Vorst, T.C.F. (1998), "A
Threshold Error-Correction Model for Intraday Futures
And Index Returns," Journal of Applied Econometrics, 13,
245-263.
Geographic Area: US
Time Span: May 1993
Frequency: Every 15 seconds
Seasonally Adjusted: No
Variables (in order from left to right in data file) Levels Logs
---------------------------------------------------
Matching index futures contract fl
Theoretical futures prices al
**************************************
Name of Data File: martens_kofman_vorst_3_98.dat
Citation: Martens, M., Kofman, P., and Vorst, T.C.F. (1998), "A
Threshold Error-Correction Model for Intraday Futures
And Index Returns," Journal of Applied Econometrics, 13,
245-263.
Geographic Area: US
Time Span: November 1993
Frequency: Every 15 seconds
Seasonally Adjusted: No
Variables (in order from left to right in data file) Levels Logs
---------------------------------------------------
Matching index futures contract fl
S&P 500 index sl
**************************************
Name of Data File: martens_kofman_vorst_4_98.dat
Citation: Martens, M., Kofman, P., and Vorst, T.C.F. (1998), "A
Threshold Error-Correction Model for Intraday Futures
And Index Returns," Journal of Applied Econometrics, 13,
245-263.
Geographic Area: US
Time Span: November 1993
Frequency: Every 15 seconds
Seasonally Adjusted: No
Variables (in order from left to right in data file) Levels Logs
---------------------------------------------------
Matching index futures contract fl
Theoretical futures prices al
**************************************
Name of Data File: martin_1_00.dat
Citation: Martin, G.M. (2000), "US Deficit Sustainability: A New
Approach Based on Multiple Endogenous Breaks," Journal of
Applied Econometrics, 15, 83-105.
Geographic Area: US
Time Span: 1947:2 to 1974:4
Frequency: Quarterly
Seasonally Adjusted: Not stated in original article
Variables (in order from left to right in data file) Levels Logs
---------------------------------------------------
Year and quarter Date
Real government tax revenue revenue
Real government expenditure, expend
inclusive of interest paid on debt
**************************************
Name of Data File: martin_2_00.dat
Citation: Martin, G.M. (2000), "US Deficit Sustainability: A New
Approach Based on Multiple Endogenous Breaks," Journal of
Applied Econometrics, 15, 83-105.
Geographic Area: US
Time Span: 1975:1 to 1984:4
Frequency: Quarterly
Seasonally Adjusted: Not stated in original article
Variables (in order from left to right in data file) Levels Logs
---------------------------------------------------
Year and quarter Date
Real government tax revenue revenue
Real government expenditure, expend
inclusive of interest paid on debt
**************************************
Name of Data File: ng95.dat
Citation: Ng, S. (1995), "Testing for Homogeneity in Demand Systems
When the Regressors are Nonstationary," Journal of Applied Econometrics, 10, 147-163.
Geographic Area: US
Time Span: 1954:1 to 1990:4
Frequency: Quarterly
Seasonally Adjusted: Yes
Variables (in order from left to right in data file) Levels Logs
--------------------------------------------------------
Year and quarter Date
Relative price of food pfl
Relative price of clothing pcl
Relative price of other services psol
Relative price of other non-durables pndol
Price of housing (numeraire) phousel
Total real expenditure on non-durables expendl
Share of food in expenditure on
non-durables and services wfood
Share of clothing in expenditure on
non-durables and services wcloth
Share of other services in expenditure
on non-durables and services wso
Share of other non-durables in expenditure
on non-durables plus services wndo
Share of housing in expenditure
on non-durables plus services whouse
**************************************
Name of Data File: perez98.dat
Citation: Perez, S.J. (1998), "Causal Ordering and `the Bank Lending
Channel'," Journal of Applied Econometrics, 13, 613-626.
Geographic Area: US
Time Span: 1952:1 to 1991:1
Frequency: Quarterly
Seasonally Adjusted: Yes
Variables (in order from left to right in data file) Levels Logs
---------------------------------------------------
Year and quarter Date
GNP gnp
Real commercial-industrial loans loans
3-month T-bill rate r
**************************************
Name of Data File: phillips_mcfarland_mcmahon96.dat
Citation: Phillips, P.C.B., McFarland, J.W., and McMahon, P.C.
(1996), "Robust Tests of Forward Exchange Market Efficiency
with Empirical Evidence from the 1920s," Journal of Applied Econometrics, 11, 1-22.
Geographic Area: Belgium, France, Italy, US
Time Span: May 1, 1922 to May 30, 1925
Frequency: Daily
Seasonally Adjusted: No
Variables (in order from left to right in data file) Levels Logs
---------------------------------------------------
Belgium 1 Month Future Exchange Rate belful
Belgium Spot Exchange Rate, 26 Days After Future Rate belspl
France 1 Month Future Exchange Rate frful
France Spot Exchange Rate, 26 Days After Future Rate frspl
Italy 1 Month Future Exchange Rate itful
Italy Spot Exchange Rate, 26 Days After Future Rate itspl
US 1 Month Future Exchange Rate usful
US Spot Exchange Rate, 26 Days After Future Rate usspl
Notes:
(1) The exchange rates are in terms of the pound sterling
(2) The readme file to the original data set states, "This data set was collected by hand transcription from back issues of the Manchester Guardian by Patrick McMahon. Its source should be acknowledged in any published or unpublished work that makes use of it."
**************************************
Name of Data File: raj_1_95.dat
Citation: Raj, B. (1995), "Institutional Hypothesis of the Long-Run
Income Velocity of Money and Parameter Stability of the
Equilibrium Relationship," Journal of Applied Econometrics,
10, 233-253.
Geographic Area: Canada
Time Span: 1900 to 1986
Frequency: Annual
Seasonally Adjusted: No
Variables (in order from left to right in data file) Levels Logs
---------------------------------------------------
Year Date
M2 income velocity v
Real permanent per capita income y
Long term bond yield rate int
Currency-money ratio cm
Ratio of non-bank financial assets
to total financial assets fa
**************************************
Name of Data File: raj_2_95.dat
Citation: Raj, B. (1995), "Institutional Hypothesis of the Long-Run
Income Velocity of Money and Parameter Stability of the
Equilibrium Relationship," Journal of Applied Econometrics,
10, 233-253.
Geographic Area: Norway
Time Span: 1880 to 1938
Frequency: Annual
Seasonally Adjusted: No
Variables (in order from left to right in data file) Levels Logs
---------------------------------------------------
Year Date
M2 income velocity v
Real permanent per capita income y
Long term bond yield rate int
Currency-money ratio cm
Ratio of non-bank financial assets
to total financial assets fa
**************************************
Name of Data File: raj_3_95.dat
Citation: Raj, B. (1995), "Institutional Hypothesis of the Long-Run
Income Velocity of Money and Parameter Stability of the
Equilibrium Relationship," Journal of Applied Econometrics,
10, 233-253.
Geographic Area: Norway
Time Span: 1946 to 1986
Frequency: Annual
Seasonally Adjusted: No
Variables (in order from left to right in data file) Levels Logs
---------------------------------------------------
Year Date
M2 income velocity v
Real permanent per capita income y
Long term bond yield rate int
Currency-money ratio cm
Ratio of non-bank financial assets
to total financial assets fa
**************************************
Name of Data File: raj_4_95.dat
Citation: Raj, B. (1995), "Institutional Hypothesis of the Long-Run
Income Velocity of Money and Parameter Stability of the
Equilibrium Relationship," Journal of Applied Econometrics,
10, 233-253.
Geographic Area: Sweden
Time Span: 1880 to 1986
Frequency: Annual
Seasonally Adjusted: No
Variables (in order from left to right in data file) Levels Logs
---------------------------------------------------
Year Date
M2 income velocity v
Real permanent per capita income y
Long term bond yield rate int
Currency-money ratio cm
Ratio of non-bank financial assets
to total financial assets fa
**************************************
Name of Data File: raj_5_95.dat
Citation: Raj, B. (1995), "Institutional Hypothesis of the Long-Run
Income Velocity of Money and Parameter Stability of the
Equilibrium Relationship," Journal of Applied Econometrics,
10, 233-253.
Geographic Area: United Kingdom
Time Span: 1876 to 1985
Frequency: Annual
Seasonally Adjusted: No
Variables (in order from left to right in data file) Levels Logs
---------------------------------------------------
Year Date
M2 income velocity v
Real permanent per capita income y
Short term interest rate int
Currency-money ratio cm
Ratio of non-bank financial assets
to total financial assets fa
****************************************
Name of Data File: song_liu_romilly_1_97.dat
Citation: Song, H., Liu, X., and Romilly, P. (1997), "A Comparative
Study of Modelling the Demand for Food in the United States
and the Netherlands," Journal of Applied Econometrics, 12,
593-613.
Geographic Area: US
Time Span: 1913 to 1976
Frequency: Annual
Seasonally Adjusted: No
Variables (in order from left to right in data file) Levels Logs
---------------------------------------------------
Year Date
Per capita food consumption pcfcl
Food price index fpl
Non-food price index nfpl
Per capita disposable income pcyl
Average number of people per household ntilda
******************************************
Name of Data File: song_liu_romilly_2_97.dat
Citation: Song, H., Liu, X., and Romilly, P. (1997), "A Comparative
Study of Modelling the Demand for Food in the United States
and the Netherlands," Journal of Applied Econometrics, 12,
593-613.
Geographic Area: US
Time Span: 1929 to 1989
Frequency: Annual
Seasonally Adjusted: No
Variables (in order from left to right in data file) Levels Logs
---------------------------------------------------
Year Date
Real aggregate expenditure on food tsstar
Real aggregate income tystar
Real aggregate expenditure on food per capita sstar
Food price index fpl
Real aggregate income per capita ystar
Non-food price index nfpl
Average number of people per household ntilda
****************************************
Name of Data File: song_liu_romilly_3_97.dat
Citation: Song, H., Liu, X., and Romilly, P. (1997), "A Comparative
Study of Modelling the Demand for Food in the United States
and the Netherlands," Journal of Applied Econometrics, 12,
593-613.
Geographic Area: Netherlands
Time Span: 1960 to 1988
Frequency: Annual
Seasonally Adjusted: No
Variables (in order from left to right in data file) Levels Logs
---------------------------------------------------
Year Date
Real total food expenditure tsstar
Real total income tystar
Food prices (differenced) p11ld
Non-food price index nfpl
Average number of people per household ntilda
****************************************
Name of Data File: timmerman95.dat
Citation: Timmermann, A. (1995), "Cointegration Tests of Present Value
Models with a Time-Varying Discount Factor," Journal of
Applied Econometrics, 10, 17-31.
Geographic Area: US
Time Span: 1871 to 1986
Frequency: Annual
Seasonally Adjusted: No
Variables (in order from left to right in data file) Levels Logs
---------------------------------------------------
Year Date
Real dividends per share dividend
Real price per share price
Real dividends per share dividendl
Real price per share pricel
**************************************
Name of Data File: weber_1_95.dat
Citation: Weber, C.E. (1995), "Cyclical Output, Cyclical
Unemployment, and Okun's Coefficient: A New Approach,"
Journal of Applied Econometrics, 10, 433-445.
Geographic Area: US
Time Span: 1948:1 to 1973:3
Frequency: Quarterly
Seasonally Adjusted: Not stated in original article
Variables (in order from left to right in data file) Levels Logs
---------------------------------------------------
Year and quarter Date
Civilian unemployment rate unemp
Real gross national product gnpl
**************************************
Name of Data File: weber_2_95.dat
Citation: Weber, C.E. (1995), "Cyclical Output, Cyclical
Unemployment, and Okun's Coefficient: A New Approach,"
Journal of Applied Econometrics, 10, 433-445.
Geographic Area: US
Time Span: 1973:4 to 1988:4
Frequency: Quarterly
Seasonally Adjusted: Not stated in original article
Variables (in order from left to right in data file) Levels Logs
---------------------------------------------------
Year and quarter Date
Civilian unemployment rate unemp
Real gross national product gnpl