Allan Timmermann, "Cointegration Tests of Present Value Models with a
Time-varying Discount Factor", Journal of Applied Econometrics, Vol. 10, 
No. 1, 1995, pp. 17-31.

The file timmer.data contains nine variables, listed by observation in
the following order:

I1Jan: 1-month T-bill rate measured in January. Data from 1926-1986.
I3Jan: 3-month T-bill rate measured in January. Data from 1926-1986.
RCON: Real consumption. Data from 1889 - 1985.
RCP: Short commercial paper rate. Data from 1871 - 1986.
PPI: producer price index measured in January. Data from 1871 - 1986.
PPIAV: annual average of producer price index. Data from 1871 - 1986.
NP: nominal price per share (in January) for S&P 500 index. 1871 - 1986.
ND: nominal dividend per share for S&P 500 index. 1871 - 1986.
Time: Time indicator corresponding to each set of observations.

Using the 'raw' data the following variables used in the paper can be
defined:

C1 = Rcon/Rcon(-1) - 1
C4 = (Rcon/Rcon(-1))^4 - 1
Dividend = 100*ND/PPI
Price = 100*NP/PPI
Dividend Yield = Dividend(-1)/Price
Proxy for real risk free rate = RCP - log(ppiav/ppiav(-1))
Term Structure = I3Jan - I1Jan

A missing value of a variable is indicated by the value -99.999.

The data sources of the variables are explained in the main body of the 
paper.