Jin-Lung Lin and Ruey S. Tsay, " Co-integration Constraint and
Forecasting: An Empirical Examination", Journal of Applied Econometrics,
Vol. 11, No. 5, 1996, pp. 519-538. 

The file lin-tsay.zip contains seven datasets used in the paper. The file
names are respectively exr.dat, twn.dat, us.dat, bond.dat, export.dat,
import.dat, and prod.dat. These are ASCII files in DOS format, so Unix
users will need to use unzip -a. 

There are two types of data analyzed in this paper: financial
and macro-economic data.  The financial data consist of monthly
exchange rates and bond yields of five major economies and monthly
interest rates in Taiwan and US.  The macro-economic data contain 
industrial production indexes of five major economies and the exports
and imports between US and the five major economies.
All of the data except production indexes and Taiwan interest rates
were taken from the Citibase. The production-index data were from the
International Monetary Fund and Taiwan interest rates from the
Ministry of Education, Taiwan. 

Exchange rates:  Monthly exchange rates of Canadian dollar,
France's Franc, German Deutsche Mark,  Japanese Yen, and UK Pound versus
US Dollar from 1957:1 to 1993:5 with 437 observations. The first four series
are in term of one US dollars and the last one is US cents per Pound.

Taiwan Interest Rates:  1-month, 3-month and 6-month time-deposit
interest rates of Taiwan from 1961:3 to 1989:6 with 340 observations.

US interest rates: 3-month and 6-month Treasury Bills and 1-year
and 3-year Treasury Notes from 1959:1 to 1993:2 with 410 observations.
Logarithms of the data are used.

Bond yields:  Government bond yields of Canada (3-5 years),
France, Japan, UK (short term), and US
(Treasury Constant Maturities- 3 years).
The data span is from 1967:1 to 1993:2 for 314 observations.

Exports: Monthly total exports of US to Canada, France, Germany,
Japan, and UK from 1974:1 to 1993:3 with 231 observations.
The data were seasonally adjusted and in millions of US dollars.

Imports: Monthly total import of US from Canada, France, Germany,
Japan, and UK from 1974:1 to 1993:3 with 231 observations. Again
the data were seasonally adjusted and in millions of US dollars.

Industrial Production Index: Monthly production index of Canada,
Germany, Japan, US and UK with 1990 being the base year. The sample
period is from 1957:1 to 1993:12 for 444 observations.