Simon Van Norden, "Regime Switching as a Test for Exchange Rate
Bubbles", Journal of Applied Econometrics, Vol. 11, No. 3, 1996, pp.
219-252.

There are three data files (swfxcafw.asc, swfxgyfw.asc, swfxjpfw.asc)
containing the data for Canada, Germany and Japan, respectively.  All
files are the same size, about 13260 bytes each. They are ascii files with
DOS CR/LF pairs, and they are zipped into the single file vndata.zip. 

Each file is a plain ASCII free-format text file containing 170
observations (rows) on each of 5 variables (columns).  The data are
monthly observations from September 1977 to October 1991.  The first
column is the innovations series R_{t+1}, measured as the forward rate
prediction error.  The remaining columns are the alternative measures of
the bubble b_t listed in the same order as in Tables 1 through 3; PPP,
External Balance, Real Interest Parity, and Overshooting.

None of the variables in the files have been standardized (scaled to
have a mean of zero and a standard deviation of 1), as they should be
prior to estimation.


Simon van Norden                svannorden@bank-banque-canada.ca
Research Officer,               fax:(613)782-7658
International Department, 
Bank of Canada,
234 Wellington Street, 
Ottawa, ON, CANADA  K1A 0G9