Hayashi data sets

Each of these data sets is readable by Stata--running on the desktop or on UNIX--over the Web. You need only copy the line given below each dataset into your Stata command window or Stata do-file. After loading the data into Stata, use save to make a copy of the data on your own machine if you wish. For more details on the data, please see the empirical exercises on Hayashi's book "Econometrics", or Hayashi web page. The datasets are internally documented. All but the 'nerlove' and 'summers-heston' datasets are in Stata 7 format. If you want to use them in Stata 6, read them on fmrisc and 'save dataset,old' to create the version 6 copy. Please report any problems accessing these data to baum.

Data from the Bekaert-Hodrick paper "On biases in the measurement of foreign exchange risk premiums", J. International Money and Finance, 12, 115-138, 1993.
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Daily foreign exchange quotations, 778 days, 11 variables.

use http://fmwww.bc.edu/ec-p/data/hayashi/bhodrick93.dta

• Data from the Christensen-Greene paper "Economies of scale in U.S. electric power generation,", J. Political Economy, 84, 655-676, 1976

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Firm-level data, 99 observations on 8 variables.

use http://fmwww.bc.edu/ec-p/data/hayashi/cgreene76.dta

• Data from the Z. Griliches paper "Wages of Very Young Men", J. Political Economy,  84, S69-S85, 1976.

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Individual data, 758 observations on 20 variables.

use http://fmwww.bc.edu/ec-p/data/hayashi/griliches76.dta

• Data from the Lothian-Taylor paper "Real exchange rate behavior: The Recent Float from the Perspective of the Past Two Centuries", J. Political Economy, 104, 488-509, 1996.

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200 annual observations (1791-1990) on components of  US/UK real exchange rate.

use http://fmwww.bc.edu/ec-p/data/hayashi/ltaylor96.dta

• Data from the R. Mishkin paper "Is the Fisher Effect for real?", J. Monetary Econ., 30, 195-215, 1992.

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491 monthly observations.

use http://fmwww.bc.edu/ec-p/data/hayashi/mishkin92.dta

• Data from the M. Nerlove paper "Returns to scale in electricity supply", in C. Christ, ed., Measurement in Economics, Stanford University Press

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Firm-level data, 99 observations on 5 variables.

use http://fmwww.bc.edu/ec-p/data/hayashi/nerlove63.dta

• Data from the Summers-Heston paper "The Penn World Table (Mark 5): An Expanded Set of International Comparisons, 1950-1988", Quarterly J. of Economics, 106, 327-368, 1991.

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Annual panel data, 1960-1985, for 125 countries and 8 variables (3250 observations).

use http://fmwww.bc.edu/ec-p/data/hayashi/sheston91.dta

• Data from the Stock-Watson paper "A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems", Econometrica, 61, 783-820, 1993.

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Annual data, 1900-1989, for 5 variables.

use http://fmwww.bc.edu/ec-p/data/hayashi/swatson93.dta