Data sets

The data sets for almost all empirical illustrations in the book are available and easy to download. Data files are available in the following formats: ASCII, Eviews, Stata and MicroFit. Note that some data sets have more than 3,000 observations and are not supported by MicroFit 4.0. A txt file is available that explains the data and gives summary statistics.
The files are organized by chapter. If you experience any problems downloading these files, please contact the author.

Now complete.

Chapter 2: An introduction to linear regression
wage rates (USA)
information:wages1.txt
data:wages1.asc wages1.wf1 wages1.dta
capm
information:capm.txt
data:capm.asc capm.wf1 capm.dta capm.fit
asset pricing
information:assets.txt
data:assets.asc assets.wf1 assets.dta assets.fit

Chapter 3: Interpreting and comparing regression models
house prices
information:housing.txt
data:housing.asc housing.wf1 housing.dta housing.fit
Belgian wage rates
information:bwages.txt
data:bwages.asc bwages.wf1 bwages.dta bwages.fit
Dutch fashion stores
information:clothing.txt
data:clothing.asc clothing.wf1 clothing.dta clothing.fit

Chapter 4: Heteroskedasticity and autocorrelation
air quality
information:airq.txt
data:airq.asc airq.wf1 airq.dta airq.fit
ice cream
information:icecream.txt
data:icecream.asc icecream.wf1 icecream.dta icecream.fit
forward rates
information:forward.txt
data:forward.asc forward.wf1 forward.dta forward.fit
labor demand
information:labor.txt
data:labor.asc labor.wf1 labor.dta labor.fit

Chapter 5: Endogeneity, instrumental variables and GMM
returns to schooling
information:schooling.txt
data:schooling.asc schooling.wf1 schooling.dta schooling.fit
intertemporal asset pricing
information:pricing.txt
data:pricing.asc pricing.wf1 pricing.dta pricing.fit

Chapter 7: Models with limited dependent variables
unemployment benefits (note: files are large - up to 1.1 Mb)
information:benefits.txt
data:benefits.asc benefits.wf1 benefits.dta
willingness to pay
information:wtp.txt
data:wtp.asc wtp.wf1 wtp.dta wtp.fit
alcohol and tobacco expenditures
information:tobacco.txt
data:tobacco.asc tobacco.wf1 tobacco.dta tobacco.fit

Chapter 8: Univariate time series models
quarterly income
information:income.txt
data:income.asc income.wf1 income.dta income.fit
purchasing power parity
information:ppp.txt
data:ppp.asc ppp.wf1 ppp.dta ppp.fit
USA interest rates
information:irates.txt
data:irates.asc irates.wf1 irates.dta irates.fit
daily exchange rates
information:garch.txt
data: garch.wf1 garch.fit
daily stock market returns
information:sp500.txt
data:sp500.asc sp500.wf1 sp500.dta sp500.fit

Chapter 9: Multivariate time series models
spurious regression
information:spurious.txt
data:spurious.asc spurious.wf1 spurious.dta spurious.fit
purchasing power parity
information:ppp.txt
data:ppp.asc ppp.wf1 ppp.dta ppp.fit
money, inflation, GDP
information:money.txt
data:money.asc money.wf1 money.dta money.fit

Chapter 10: Models based on panel data
male wage rates 1980-87 (USA)
information:males.txt
data:males.asc males.dta