Datasets for New Introduction to Multiple Time Series Analysis

The datasets used for the examples in the book New Introduction to Multiple Time Series Analysis can be downloaded here.

Description Filename
quarterly, seasonally adjusted, West German fixed investment, disposable income, consumption expenditures in billions of DM, 1960Q1-1982Q4; source: Deutsche Bundesbank e1.dat
quarterly, seasonally adjusted, U.S. fixed investment (y1), change in business inventories (y2), 1947Q1-1972Q4; source: U.S. Department of Commerce, Bureau of Economic Analysis, The National Income and Product Accounts of the United States, 1929-1974 e2.dat
quarterly, seasonally adjusted real U.S. money (M1), GNP in 1982 Dollars, discount rate on 91-day treasury bills (rd), yield on long term treasury bonds (rb), 1954Q1-1987Q4; source: Business Conditions Digest e3.dat
quarterly, unadjusted, West German real per capita disposable income, personal consumption expenditures, 1960Q1-1987Q4; source: Deutsches Institut fuer Wirtschaftsforschung, Berlin e4.dat
monthly West German interest rate on 3-months loans in the money market (i_short), yields on bonds outstanding for total fixed interest securities (i_long), 1960M1-1987M12; source: Deutsche Bundesbank e5.dat
sample: 1972Q2 -- 1998Q4
West German data until 1990Q2, all of Germany aferwards
Dp - \Delta log gdp deflator
(source: Deutsches Institut für Wirtschaftsforschung, Volkswirtschaftliche Gesamtrechnung)
R - nominal long term interest rate (Umlaufsrendite)
(source: Monatsberichte der Deutschen Bundesbank, quarterly values are values of last month of quarter)