Anthony A. Smith, Jr., "Estimating Nonlinear Time Series Models Using
Simulated Vector Autoregressions", Journal of Applied Econometrics, Vol.
8, Supplement, 1993, pp. S63-S84. 

The file smith.data, which is zipped in smith-data.zip, contains data for
the empirical application from this paper. 

Column 1: Year
Column 2: Quarter
Column 3: natural log of real U.S. GNP per capita
Column 4: Column 3 with trend removed (see p. S76 of Smith (1993) for
          details of the detrending procedure)
Column 5: natural log of real U.S. gross private domestic investment per
          capita
Column 6: Column 5 with trend removed (see p. S76 of Smith (1993) for
          details of the detrending procedure)


Note 1: There is a typographical error in Smith (1993).  The data set
covers the period 1948:1 to 1988:4, NOT 1947:1 to 1988:4.

Note 2:  Real GNP per capita and real gross private domestic investment
per capita are measured in thousands of 1982 dollars.  The U.S. civilian
noninstitutional population over the age of 15 is used to construct per
capita quantities.