Mills 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. The weekly, monthly, quarterly and annual datasets have been "tsset" (i.e. they contain a date variable, and obey a time series calendar). For more details on the data, please see the 2nd edition (Cambridge University Press, 1999) of Terence C. Mills' The Econometric Analysis of Financial Time Series, Data Appendix. Please report any problems accessing these data to baum.

• RS: 91 day Treasury Bill rate, monthly, March 1952 to December 1995 (526 observations)

  R20: Yield on 20 Year UK Gilts, monthly, March 1952 to December 1995

  use http://fmwww.bc.edu/ec-p/data/Mills2d/rs-r20.dta

• RSQ: 91 day Treasury Bill rate, quarterly, 1952Q1 to 1995Q4 (176 observations)

  R20Q: Yield on 20 Year UK Gilts, quarterly, 1952Q1 to 1995Q4

  RSQREAL: Real 91 day Treasury Bill rate, quarterly, 1952Q1 to 1995Q3 (175 observations)

  use http://fmwww.bc.edu/ec-p/data/Mills2d/rsq-20-r.dta

• FTAPRICE: FTA All Share price index, monthly, January 1965 to December 1995 (372 observations)

  FTADIV: FTA All Share dividend index, monthly, January 1965 to December 1995

  FTARET: FTA All Share nominal returns, monthly, January 1965 to December 1995

  RPI: U.K. Retail Price Index, monthly, January 1965 to December 1995

  use http://fmwww.bc.edu/ec-p/data/Mills2d/fta.dta

• EXCHD: Dollar/sterling exchange rate, daily, 1974 to 1994 (5192 observations)

  use http://fmwww.bc.edu/ec-p/data/Mills2d/exchd.dta

• EXCHQ: Dollar/sterling exchange rate, quarterly, 1972Q1 to 1996Q4 (100 observations)

  use http://fmwww.bc.edu/ec-p/data/Mills2d/exchq.dta

• S&P500: S&P 500 index, annual, 1871 to 1997 (127 observations)

  S&P500R: S&P 500 real returns, annual 1872 to 1995 (124 observations)

  use http://fmwww.bc.edu/ec-p/data/Mills2d/sp500a.dta

• S&P500D: S&P 500 index, daily, 1928 to 1991 (17,054 observations)

  use http://fmwww.bc.edu/ec-p/data/Mills2d/sp500d.dta

• FT30: FT30 index, daily, 1935 to 1994 (15,003 observations)

  use http://fmwww.bc.edu/ec-p/data/Mills2d/ft30d.dta

• FTSE100: FTSE 100 index, weekly, 1984 to 1993 (521 observations)

  CTLD: Courtaulds share price, weekly, 1984 to 1993

  LGEN: Legal & General share price, weekly, 1984 to 1993

  PRU: Prudential share price, weekly, 1984 to 1993

  use http://fmwww.bc.edu/ec-p/data/Mills2d/stockw.dta