James G. MacKinnon and Ross D. Milbourne, "Are Price Equations Really
Money Demand Equations on their Heads?", Journal of Applied
Econometrics, Vol. 3, No. 4, 1988, pp. 295-305.

This paper uses three different sets of data.  The data used in the
first halves of Tables I and II are found in set1.dat.  Those used in
the second halves of those tables are found in set2.dat.  Those used in
Table III are found in set3.dat. All three files are zipped in the file
mm-data.zip.

All series in set1.dat and set2.dat are in levels, although the equations
were actually run in logs.  For these data sets, the series are:

    M: nominal money stock
    Y: real income
    P: price level
  RCP: commercial paper rate
  RTD: time deposit rate
    N: population
CRCON: credit controls dummy variable
TREND: linear time trend

Note that some of these series may be different in the two data sets. The
equations in the paper were estimated using subsets of these data sets.

For set1.dat, the time period is 1952:1 to 1978:2 and the order of the
series is:  M, Y, P, RCP, RTD, N, TREND.

For set2.dat, the time period is 1972:1 to 1984:4 and the order of the
series is M, Y, P, RCP, N, CRCON, TREND.

For set3.dat, the time period is 1954:1 1976:4. The series are:

  LYR: log of real income
  LYP: log of permanent income
  LYT: log of transitory income
  LMR: log of real money supply
   LP: log of price level
  TBR: Treasury bill rate (divided by 100)
LMHST: log of anticipated money supply

For the sources of set1.dat and set2.dat, see the Appendix of the paper.
The data in set3.dat were provided by Daniel Thornton. They were used
in the paper by Carr, Darby, and Thornton that is cited.