David F. Hendry, "Modelling UK Inflation, 1875--1991", Journal of Applied Econometrics, Vol. 16, No. 3, 2001, pp. 255-275. The data are in three ASCII files, by variable: jaedfh4.dat 1873--1990 (118 observations) 4 variables (LW85, pcli, w, pistarn) jaedfhnh.dat 1920--1991 (72 observations) 1 variable (nh) jaedfhm.dat 1873--1991 (119 observations) 22 variables (all others) All three files, which are in DOS format, are zipped in the file dfhdata.zip. Unix users should use "unzip -a". Data definitions are in the order in which the variables appear in the files. jaedfh4.dat: LW85 Log wage index from [4]: hourly wage rates prior to WWII, then weekly wage rates after 1947 (1985=1) pcli Log consumer price index from [4]+[5]: 1985 =1 w LW85 till 1946 then log(exp(LW85)*44.9122/nh) from 1947 on pistarn 0.25*(pgdp-pw+eri-0.52)-0.675*(w+LEmpUK-gdp-pgdp+0.006*(trend-69.5) +2.37)-0.075*(LPrm-eri-pgdp)+0.25+0.11*dummy(1946,1991) jaedfhnh.dat: nh normal hours ([4]) jaedfhm.dat: pgdp Log of UK GDP deflator (1985 =1) [4] gdp Log GDP in 1985 prices: from [4] pw Log external price level (US till 54 then ROW: 1985=1): from [10] eri Log annual-average effective exchange rate from [10] LPrm Log price index for raw materials and fuels [11] RS UK short term interest rate (Treasury-bill rate, fraction p.a.): from [1] + [2] RL UK long-term bond rate (fraction p.a.): from [1] + [2] LNatdebt Log of UK nominal national debt (£million) [8] m Log of UK broad money stock: from [1] + [2] pnni Log of the implicit deflator of UK Net National Income: from [1] + [2] LEmpUK Log UK employment ([7]) LKtotUK Log gross total UK capital stock ([7]) y29 Log real UK Net National Income, 1929 prices: from [1] + [2] Rna opportunity-cost of money measure = Rs*HoMa/25; see [3] E £/$ exchange rate [1]+[2] LE Log(E) pop Log UK population corrected for departure of Southern Ireland [7] un Unemployment ([7] and [9a], 1993) wpop Log UK working popolation ([6] and [7]) RsUS US short-term interest rate ([1] + [2]]) gdpd gdp - LEmpUK - (trend*0.0052 + 2.65 + 0.36*(LKtotUK-log(wpop)) *dummy(1860,1944) - (trend*0.0135 + 1.875 + 0.36*(LKtotUK-log(wpop)) *(1 - dummy(1860,1944)) trend 14 in 1873, 15 in 1874 etc. Sources: [1] Friedman, M., and Schwartz, A. J. (1982). Monetary Trends in the United States and the United King-dom: Their Relation to Income, Prices, and Interest Rates, 1867-1975. Chicago: University of Chicago Press. [2] Attfield, C. L. F., Demery, D., and Duck, N. W. (1995). Estimating the UK demand for money function: A test of two approaches. Mimeo, Economics Department, University of Bristol. [3] Hendry, D. F., and Ericsson, N. R. (1991). An econometric analysis of UK money demand in "Monetary Trends in the United States and the United Kingdom" by Milton Friedman and Anna J. Schwartz. American Economic Review, 81, 8-38. [4] Shadman-Mehta, F. (1995). An empirical study of the determinants of real wages and employment: The Phillips curve revisited. Unpublished thesis, Universite Catholique de Louvain, Belgium. (who cites [4a] and [4b] as sources) [4a] Sleeman, A. (1981). The relation between unemployment and the rate of change of money wage rates in the United Kingdom, 1851-1979. Paper presented to the Atlantic Economic Society, LSE, London. [4b] Thomas, J. J. (1984). Wages and prices in the United Kingdom, 1862-1913: A re-examination of the Phillips curve. Paper presented to the ESRC Quantitative Economic History Study Group, Oxford. [5] Phillips, A. W. H. (1958). The relation between unemployment and the rate of change of money wage rates in the United Kingdom, 1861-1957. Economica, 25, 283-299. [6] Mitchell, B. R. (1988). British Historical Statistics. Cambridge: Cambridge University Press. [7] Feinstein, C. H. (1972). National Income, Expenditure and Output of the United Kingdom, 1855–1965. Cambridge: Cambridge University Press. [8] Bank of England (supplied to author). [9] Bean, C.R. (supplied to author): taken from (a) Economic Trends Annual Supplements, (b) Annual Abstract of Statistics, (c) Department of Employment Gazette and (d) National Income and Expenditure, as well as other sources cited there; [10] Cameron, G. and Muellbauer, J.N.J. (supplied to author). [11] UN Statistical Yearbook. Notes: Wage index: hourly wage rates prior to 1946, then weekly wage rates afterwards, so the latter were standardized by dividing by `normal hours'. As GDP is an annual flow, and the trend rate of decline of hours was about 0.5% p.a. (based on a drop from 56 to 40 between 1913 and 1990, noting the additional increase in paid holidays), unit labour costs were adjusted accordingly. Exchange rate: annual £/$ rate till 1954, then an annual aggregate of quarterly data on the trade-weighted effective exchange rate, spliced to the £/$ rate in 1955. World prices: US prices till 1954, then a trade-weighted annual aggregate of quarterly data on the corresponding PPP values, from which the price data were derived and spliced to US prices in 1955. dummy(1946,1991) denotes unity for the period shown (inclusive) and zero otherwise David F. Hendry