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.
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Description
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Filename
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quarterly, seasonally adjusted, West German fixed
investment, disposable income, consumption
expenditures in billions of DM, 1960Q1-1982Q4;
source: Deutsche Bundesbank
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e1.dat
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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
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e2.dat
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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
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e3.dat
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quarterly, unadjusted, West German real per capita
disposable income, personal consumption
expenditures, 1960Q1-1987Q4; source: Deutsches
Institut fuer Wirtschaftsforschung, Berlin
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e4.dat
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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
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e5.dat
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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)
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e6.dat
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