Dennis L. Hoffman and Robert H. Rasche, "Assessing Forecast Performance
in a Cointegrated System", Journal of Appied Econometrics, Vol. 11, 
No. 5, 1996, pp. 495-517.

Data are in the DOS file data.rh, which is zipped in rh-data.zip. 

Quarterly data on the following series are organised by observation from
47:1 through 95:2.  Those data series for which observations are not
available for the full period are filled with zeros. 

Data definitions and sources are as follows:

1. GDP = nominal GDP in billions of dollars: Source Citibase 
series GDP. These data are from prior to the 1996 revisions 
of the U.S. National Income Accounts.                          

2. GDPQ = real GDP in billions of 1987 dollars:  Source 
Citibase series GDPQ. These data are from prior to the 1996 
revisions of the U.S. National Income Accounts. 

3. GDPNSA = nominal GDP in billions of dollars, not seasonally 
adjusted.  Unpublished data from the Bureau of Economic Analysis, 
U.S. Department of Commerce.

4. FYCPQ = Commercial Paper rate: Source Citibase series FYCP.  
Arithmetic quarterly averages of monthly data.

5.FYGN3Q = Treasury Bill rate: Source Citibase series FYGN3. 
Arithmetic quarterly averages of monthly data.

6.M1Q = M1 measure of the nominal money stock.  Source: 1959 
- Board of Governors of the Federal Reserve System, Division 
of Monetary Analysis.  1947-58 estimates constructed by R. H. 
Rasche. Original data series and footnotes are available at 

      http://www.msu.edu/user/rasche

Quarterly data are arithmetic averages of monthly data.

7. RM1Q = own rate of interest on M1: Source unpublished 
estimates from the Division of Monetary Analysis, Board of 
Governors of the Federal Reserve System.

8. M1NSAQ = M1 measure of the nominal money stock, not 
seasonally adjusted.   Source: 1959 - Board of Governors of 
the Federal Reserve System, Division of Monetary Analysis.  
1947-58 estimates constructed by R. H. Rasche. Original data 
series and footnotes are available at 

      http://www.msu.edu/user/rasche Quarterly data are 

arithmetic averages of monthly data. 


Dennis Hoffman dennis.hoffman@asu.edu
Robert Rasche  rasche@pilot.msu.edu