Roy P.M.M. Hoevenaars, Roderick D.J. Molenaar, Peter C. Schotman, and Tom B.M. Steenkamp (2013), "Strategic Asset Allocation for Long-Term Investors: Parameter Uncertainty and Prior Information", Journal of Applied Econometrics, Vol. 29, No, 3, 2014, pp. 353-376. The dataset is in one ASCII file, consisting of 228 rows and 8 columns, called data-hmss.csv. Columns are separated by semicolons. This file is zipped in the file data-hmss.zip. Unix/Linux users should use "unzip -a". The first column represents the quarterly time period, and the other colums represent returns on three asset classes (stocks, bonds, and T-Bills) and three state variables that help predict asset returns (inflation, dividend yield, and term spread). Our US quarterly data start in 1952:1 and end in 2008:4. The 90-day T-bill and the 10-year constant maturity yield are from the FRED website (http://research.stlouisfed.org/fred2/). In order to generate the yield spread, we obtain the zero-yield data from Duffee (2002) (http://faculty.haas.berkeley.edu/duffee/affine.htm). As these data are only available until 1998:4, we have extended the series using the data from Gurkaynak et al (2006) (http://www.federalreserve.gov/econresdata/researchdata.htm). For inflation, we use the non-seasonally adjusted consumer price index for all urban consumers and all items, also from the FRED website. The real return on 3-month T-bills is constructed as the difference between the logarithmic nominal return on 3-month T-bills and logarithmic inflation. Data on stock returns and the dividend price ratio are based on the S&P Composite and are from the "Irrational Exuberance" data of Shiller (http://aida.econ.yale.edu/~shiller/data.htm). The logarithmic dividend yield is included. We construct the gross bond return series from 10 year constant maturity yields using the log-linear approximation approach in Campbell et al (1997). Stock and bond return series are included in excess of the real return on the 3-month T-Bill. The last column in the dataset corresponds to NBER contraction or expansion periods as reported in http://www.nber.org/cycles/cyclesmain.html. A contraction starts at the peak of a business cycle and ends at the trough, and the expansion starts at the trough and ends at the peak.