Cheng Hsiao, Yan Shen, and Hiroshi Fujiki, "Aggregate vs. Disaggregate Data
Analysis -- A Paradox in the Estimation of Money Demand Function of Japan
Under the Low Interest Rate Policy", Journal of Applied Econometrics,
Vol. 20, No. 5, 2005, pp. 579-601.

The data sources are described in detail in the paper.  There are two
datasets accompanying this paper, one for the aggregate data and the other
for the disaggregate data. They are ASCII files in DOS format, called
hsf-data-agg.txt and hsf-data-disagg.txt, respectively. These two files are
zipped in hsf-data.zip. Unix users should use "unzip -a".

The dataset hsf-data-agg.txt contains the aggregate data.  Variables and
their descriptions:

period: year and quarter
lnrgdp: natural log of real GDP
lnrm2:  natural log of real M2
lnrm1:  natural log of real M2
bond5:  Bond rate 5 years.

The dataset hsf-data-disagg.txt contains the disaggregate data.  Variables
and their descriptions:

regions:  Prefectures in Japan
year:     Year
deflator: prefecture level price deflator
nm2:      prefecture level counterpart of M2
ndd:      prefecture level counterpart of M1
bond5:    bond rate 5 years.