Surajit Ray and N. E. Savin, "The Performance of Heteroskedasticity and Autocorrelation Robust Tests: A Monte Carlo Study with an Application to the Three-Factor Fama-French Asset Pricing Model", Journal of Applied Econometrics, Vol. 23, No. 1, 2008, pp. 91-109. There are 480 observations on 14 variables plus a date variable. The first column, labeled date, contains the date variable, yyyy/mm/dd. The next ten columns contain the CRSP monthly returns, including distributions, for ten value-weighted portfolios with NYSE, AMEX, and NASDAQ stocks. The stocks are assigned to the portfolios based on the market value of equity and rebalanced quarterly. The next three columns contain the data for the three factors (market, smb, and hml), which are taken from the Fama and French section of the Wharton Research Data Services (WRDS) website. The last column is the data for the risk-free return, which is the one-month Treasury bill as reported in the Fama and French section of the WRDS website. The format for the returns, the factors, and the risk-free rate is x.xxxxxE-yy. The data from CRSP and WRDS were current as of 09/09/2005. The data are provided in two forms, as a comma-separated-variables (CSV) file (data-1965-2004.csv) and as a plain text file (data-1965-2004.txt) with spaces between columns. These two files are both zipped in the file rs-data.zip. Unix users should use "unzip -a".