Todd Prono, "The Role of Conditional Heteroskedasticity in Identifying and Estimating Linear Triangular Systems, with Applications to Asset Pricing Models that Include a Mismeasured Factor", Journal of Applied Econometrics, Vol. 29, No. 5, 2014, pp. 800-824. The data file contains 2,166 weekly return observations (in percentage terms) recorded over the period 07/05/1963--12/31/2004. The variables in this data file include: (1) DATE--the end-of-week date for each return. (2) rm, smb, hml, RF--weekly returns of the Fama/French factors from Kenneth French's website: http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/index.html. (2) Rij (i,j = 1,...,5)--weekly returns on 25 Portfolios Formed on Size and Book-to-Market calculated from the daily returns on the aforementioned portfolios posted on Kenneth French's website. (3) RIk (k = 1,...,30)--weekly returns on 30 Industry Portfolios calculated from the daily returns of the aforementioned portfolios posted on Kenneth French's website. The data are organized by column, with the first column corresponding to DATE and the last column corresponding to RI30, for a total of 60 columns. The data file is stored as text. The file name is ff_sze_bm_ind_Prono2013.txt Also included in this data submission are Stata do files (stored as text files) that implement the proposed CUE and INT estimators for both the CAPM and Fama/French 3-factor model. These files work on excess returns, so rij = Rij - RF and rik = RIk - RF need to be generated before the programs can be executed. The file names are: (1) CUE_CAPM_Prono2013.txt (2) CUE_FF_Prono2013.txt (3) INT_CAPM_Prono2013.txt (4) INT_FF_Prono2013.txt All five files are ASCII files in DOS format. They are zipped in the file tp-files.zip. Unix/Linux users should use "unzip -a".