This web page contains a selection of the data and computer programs used in the empirical examples in
the book. The directory hs_ch* contains programs and data relevant to chapter * in the book. The
programs are either TSP, GAUSS, RATS, or Ox programs. Each program in directory hs_ch* produces results
that are in tables in chapter *. Some of the data may need to be converted to the appropriate format
(e.g. from .xls to .txt). Each directory is zipped, and therefore needs to be unzipped using appropriate
software.
The programs are either TSP, GAUSS, RATS, or Ox programs. These are programs that either we have
written, or that other authors have written (mentioned in the book) and have kindly allowed us to use.
These authors are not responsible for any errors in the programs on this web site. If errors are found
then please let us know and we will correct them.
Richard Harris
Robert Sollis
hs_ch3
UK_MS.xls is the UK money demand data.
UK_cons_data.xls is the UK consumption data.
df_tsp_table3.3.tsp is a TSP program used to get results given in Table 3.3.
hegy*.tsp is a TSP program used to get results given in Table 3.5.
Harvey.txt is a GAUSS program used to get results given in Table 3.6.
The periodic*.tsp files are TSP programs used to get results given in Table 3.7.
ms_uk.txt is a GAUSS program used to get results given in Table 3.3.1.
DOWNLOAD PROGRAMS AND DATA 
Chapter 3
hs_ch4
UK_MS.xls is the UK money demand data.
UK_cons_data.xls is the UK consumption data.
usint.txt is the US interest rates data.
shifts_r.txt is a GAUSS program for calculating the Gregory and Hansen tests for cointegration with regime shifts (p86).
ciperiodic1.tsp is a TSP program used to get results given in Table 4.4.
mtar_ci.txt is a GAUSS program used to get results given in Table 4.5.
DOWNLOAD PROGRAMS AND DATA
Chapter 4
hs_ch7
TFP.dat
r&d.dat
fr&d.dat
time.dat
are the data files for the total factor productivity example in GAUSS format.
panel_data.wks is the total factor productivity data in RATS format.
multi-pedroni-ur1.prg is the RATS code used to get results given in Table 7.4.
Other RATS code written by Peter Pedroni can currently be obtained from the following web address:
http://www.estima.com/procs_panel.shtml
The NPT(1.3) GAUSS program for computing panel unit root and cointegration tests can currently be obtained from the following web address:
http://www.maxwell.syr.edu/maxpages/faculty/cdkao/working/npt.html
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Chapter 7
hs_ch8
S&Pdata.xls is the US stock market and macroeconomic variables data used
In chapter 8 (Tables 8.1 - 8.11 - the first observation is 1954:2).
nS&Pdata.xls data is the US stock market and macroeconomic variables data used
in Chapter 8 (Tables 8.12 - 8.16 - the first observation is 1959:4).
G@RCH 2.3 can currently be downloaded from the following web address:
http://www.egss.ulg.ac.be/garch/garchcore.htm
nfortests1.ox is an example of Ox code for computing the forecast encompassing tests referred to in Ch. 8.
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Chapter 8
