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-Alana, 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-Alana, 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: Lutkepohl, H., Terasvirta, 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: Lutkepohl, H., Terasvirta, 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