Data set used in "The Great Crash ,the Oil Price Shock and the Unit Root Hypothesis" by Pierre Perron the first 14 series are the Nelson and Plosser data set and the exact sources can be found in their paper, Journal of Monetary Economics (1982). The last series is the Post-War quarterly real gnp series from the National Income and Products Account. It is the same series used by Campbell and Mankiw, Quarterly Journal of Economics (1987) 'real gnp ' '1909-1970' 116.8 120.1 123.2 130.2 131.4 125.6 124.5 134.3 135.2 151.8 146.4 140.0 127.8 148.0 165.9 165.5 179.4 190.0 189.8 190.9 203.6 183.5 169.3 144.2 141.5 154.3 169.5 193.0 203.2 192.9 209.4 227.2 263.7 297.8 337.1 361.3 355.2 312.6 309.9 323.7 324.1 355.3 383.4 395.1 412.8 407.0 438.0 446.1 452.5 447.3 475.9 487.7 497.2 529.8 551.0 581.1 617.8 658.1 675.2 706.6 724.7 720.0 'nominal gnp ' '1909-1970' 33400.0 35300. 35800. 39400. 39600. 38600. 40000. 48300. 60400. 76400. 84000. 91500. 69600. 74100. 85100. 84700. 93100. 97000. 94900. 97000. 103095. 90367. 75820. 58049. 55601. 65054. 72247. 82481. 90446. 84670. 90494. 99678. 124540. 157910. 191592. 210104. 211945. 208509. 231323. 257562. 256484. 284769. 328404. 345498. 364593. 364841. 397960. 419238. 441134. 447334. 483663. 503734. 520097. 560325. 590503. 632410. 684884. 749857. 793927. 864202. 929095. 974126. 'real per capita gnp ' '1909-1970' 1291.0 1300.0 1312.0 1366.0 1351.0 1267.0 1238.0 1317.0 1309.0 1471.0 1401.0 1315.0 1177.0 1345.0 1482.0 1450.0 1549.0 1618.0 1594.0 1584.0 1671.0 1490.0 1364.0 1154.0 1126.0 1220.0 1331.0 1506.0 1576.0 1484.0 1598.0 1720.0 1977.0 2208.0 2465.0 2611.0 2538.0 2211.0 2150.0 2208.0 2172.0 2342.0 2485.0 2517.0 2587.0 2506.0 2650.0 2652.0 2642.0 2569.0 2688.0 2699.0 2707.0 2841.0 2912.0 3029.0 3181.0 3349.0 3399.0 3522.0 3577.0 3516.0 'industrial product. ' '1860-1970' 0.9 0.9 0.9 1.0 1.0 1.0 1.2 1.3 1.3 1.4 1.5 1.5 1.8 1.8 1.7 1.7 1.7 1.8 1.9 2.2 2.5 2.8 3.0 3.0 2.9 2.9 3.5 3.7 3.8 4.1 4.4 4.5 4.8 4.3 4.2 4.9 4.6 4.9 5.6 6.1 6.3 7.1 7.9 8.1 7.8 9.2 9.8 10.0 8.5 10.0 10.6 10.2 11.7 12.5 11.7 13.6 16.1 16.2 16.0 14.1 14.8 11.4 14.5 17.3 16.2 17.8 18.9 18.9 19.6 21.8 18.1 15.0 11.7 13.8 15.1 17.4 20.6 22.5 17.8 21.8 25.5 31.8 36.6 44.7 48.3 41.3 35.2 39.4 41.0 38.8 44.9 48.7 50.6 54.8 51.8 58.4 61.0 61.8 57.8 64.7 66.2 66.6 72.1 76.5 81.8 89.2 98.0 100.0 105.8 110.7 106.7 'employment ' '1890-1970' 22577.0 22792.0 23932.0 22321.0 21102.0 22824.0 23129.0 23604.0 24746.0 26911.0 27909.0 28922.0 29800.0 30506.0 30771.0 31976.0 33749.0 34371.0 33246.0 35072.0 35762.0 36179.0 37433.0 38298.0 37559.0 37511.0 39364.0 40084.0 42712.0 41938.0 40799.0 38568.0 41134.0 43955.0 43607.0 45082.0 46464.0 46496.0 46774.0 47890.0 45740.0 42660.0 39190.0 39010.0 41150.0 42530.0 44710.0 46620.0 44560.0 46120.0 48060.0 51970.0 57720.0 63490.0 65370.0 64260.0 58700.0 58630.0 59803.0 59266.0 60570.0 63062.0 63846.0 64726.0 63460.0 65220.0 66659.0 66871.0 65672.0 67182.0 68292.0 68318.0 69530.0 70500.0 72044.0 73811.0 76018.0 77818.0 79455.0 81408.0 81815.0 'unemployment rate ' '1890-1970' 4.0 5.4 3.0 11.7 18.4 13.7 14.4 14.5 12.4 6.5 5.0 4.0 3.7 3.9 5.4 4.3 1.7 2.8 8.0 5.1 5.9 6.7 4.6 4.3 7.9 8.5 5.1 4.6 1.4 1.4 5.2 11.7 6.7 2.4 5.0 3.2 1.8 3.3 4.2 3.2 8.7 15.9 23.6 24.9 21.7 20.1 16.9 14.3 19.0 17.2 14.6 9.9 4.7 1.9 1.2 1.9 3.9 3.9 3.8 5.9 5.3 3.3 3.0 2.9 5.5 4.4 4.1 4.3 6.8 5.5 5.5 6.7 5.5 5.7 5.2 4.5 3.8 3.8 3.6 3.5 4.9 'gnp deflator ' '1889-1970' 25.9 25.4 24.9 24.0 24.5 23.0 22.7 22.1 22.2 22.9 23.6 24.7 24.5 25.4 25.7 26.0 26.5 27.2 28.3 28.1 29.1 29.9 29.7 30.9 31.1 31.4 32.5 36.5 45.0 52.6 53.8 61.3 52.2 49.5 50.7 50.1 51.0 51.2 50.0 50.4 50.6 49.3 44.8 40.2 39.3 42.2 42.6 42.7 44.5 43.9 43.2 43.9 47.2 53.0 56.8 58.2 59.7 66.7 74.6 79.6 79.1 80.2 85.6 87.5 88.3 89.6 90.9 94.0 97.5 100.0 101.6 103.3 104.6 105.8 107.2 108.8 110.9 113.9 117.6 122.3 128.2 135.3 'consumer prices ' '1860-1970' 27.0 27.0 30.0 37.0 48.0 47.0 44.0 43.0 41.0 40.0 38.0 37.0 37.0 37.0 35.0 33.0 32.0 32.0 30.0 29.0 30.0 30.0 30.0 29.0 28.0 28.0 28.0 28.0 28.0 28.0 28.0 28.0 28.0 28.0 26.0 25.0 25.0 25.0 25.0 25.0 25.0 25.0 26.0 27.0 27.0 27.0 28.0 29.0 28.0 28.0 29.0 29.0 30.0 29.7 30.1 30.4 32.7 38.4 45.1 51.8 60.0 53.6 50.2 51.1 51.2 52.5 53.0 52.0 51.3 51.3 50.0 45.6 40.9 38.8 40.1 41.1 41.5 43.0 42.2 41.6 42.0 44.1 48.8 51.8 52.7 53.9 58.5 66.9 72.1 71.4 72.1 77.8 79.5 80.1 80.5 80.2 81.4 84.3 86.6 87.3 88.7 89.6 90.6 91.7 92.9 94.5 97.2 100.0 104.2 109.8 116.3 'wages ' '1900-1970' 487.0 511.0 537.0 548.0 538.0 561.0 577.0 598.0 548.0 599.0 651.0 632.0 651.0 689.0 696.0 661.0 751.0 883.0 1107.0 1293.0 1532.0 1396.0 1283.0 1403.0 1427.0 1450.0 1476.0 1502.0 1534.0 1543.0 1488.0 1369.0 1150.0 1086.0 1153.0 1216.0 1287.0 1376.0 1296.0 1363.0 1432.0 1653.0 2023.0 2349.0 2517.0 2517.0 2517.0 2793.0 3038.0 3095.0 3302.0 3608.0 3832.0 4053.0 4123.0 4356.0 4589.0 4786.0 4946.0 5221.0 5352.0 5507.0 5730.0 5920.0 6196.0 6389.0 6643.0 6880.0 7347.0 7775.0 8150.0 'real wages' '1900 1970' 19.48 20.44 20.65 20.30 19.93 20.78 20.61 20.62 19.57 21.39 22.45 21.79 21.70 23.20 23.12 21.74 22.97 22.99 24.55 24.96 25.53 26.04 25.56 27.46 27.87 27.62 27.85 28.88 29.90 30.08 29.76 30.02 28.12 27.99 28.75 29.59 31.01 32.00 30.71 32.76 34.10 37.48 41.45 45.35 47.76 46.70 43.03 41.75 42.14 43.35 45.80 46.38 48.20 50.60 51.22 54.31 56.38 56.77 57.11 59.81 60.34 61.46 63.25 64.56 66.70 67.61 68.34 68.80 70.51 70.81 70.08 'money stock ' '1889-1970' 3.60 3.92 4.08 4.43 4.26 4.28 4.43 4.35 4.64 5.26 6.09 6.60 7.48 8.17 8.68 9.24 10.24 11.08 11.60 11.44 12.68 13.34 14.12 15.13 15.73 16.39 17.59 20.85 24.37 26.73 31.01 34.80 32.85 33.72 36.60 38.58 42.05 43.68 44.73 46.42 46.60 45.73 42.69 36.05 32.22 34.36 39.07 43.48 45.68 45.51 49.27 55.20 62.51 71.16 89.91 106.80 126.60 138.70 146.00 148.10 147.50 150.80 156.40 164.90 171.20 177.20 183.70 186.90 191.80 201.10 210.10 210.70 221.20 233.90 249.10 264.70 285.90 308.00 331.80 361.60 385.20 401.30 'velocity ' '1869-1970' 5.61 5.16 4.63 5.05 4.95 4.71 4.46 4.65 4.89 5.06 5.10 5.31 4.41 4.41 4.01 3.89 3.53 3.38 3.29 3.15 3.08 3.00 2.96 2.86 2.93 2.57 2.73 2.63 2.72 2.51 2.49 2.49 2.44 2.31 2.29 2.14 2.13 2.28 2.28 2.06 2.19 2.17 2.07 2.12 2.15 1.88 1.87 2.09 2.15 2.47 2.25 2.18 1.88 1.87 2.02 1.95 1.87 1.94 1.86 1.83 1.94 1.68 1.45 1.24 1.32 1.47 1.49 1.57 1.64 1.51 1.50 1.48 1.58 1.82 1.75 1.61 1.37 1.16 1.20 1.33 1.30 1.41 1.57 1.56 1.57 1.51 1.59 1.66 1.68 1.61 1.68 1.72 1.69 1.71 1.69 1.71 1.72 1.76 1.72 1.72 1.73 1.73 'interest rate ' '1900-1970' 3.30 3.25 3.30 3.45 3.60 3.50 3.55 3.80 3.95 3.77 3.80 3.90 3.90 4.00 4.10 4.15 4.05 4.05 4.75 4.75 5.10 5.17 4.71 4.61 4.66 4.50 4.40 4.30 4.05 4.42 4.40 4.10 4.70 4.15 3.99 3.50 3.20 3.08 3.00 2.75 2.70 2.65 2.65 2.65 2.60 2.55 2.43 2.50 2.80 2.74 2.58 2.67 3.00 3.15 3.00 3.04 3.09 3.68 3.61 4.10 4.55 4.22 4.42 4.16 4.33 4.35 4.75 4.95 5.93 6.54 7.60 'common stock prices ' '1871-1970' 4.69 5.03 4.80 4.57 4.45 4.06 3.14 3.38 4.12 5.21 6.25 5.90 5.63 4.73 4.60 5.36 5.53 5.20 5.32 5.27 5.03 5.55 4.78 4.39 4.53 4.23 4.45 5.05 6.29 6.15 7.84 8.42 7.21 7.05 8.99 9.64 7.84 7.78 9.71 9.35 9.24 9.53 8.51 8.08 8.31 9.47 8.50 7.54 8.78 7.98 6.86 8.41 8.57 9.05 11.15 12.59 15.34 19.95 26.02 21.03 13.66 6.93 8.96 9.84 10.60 15.47 15.41 11.49 12.06 11.02 9.82 8.67 11.50 12.47 15.16 17.08 15.17 15.53 15.23 18.40 22.34 24.50 24.73 29.69 40.49 46.62 44.38 46.24 57.38 55.85 66.27 62.38 69.87 81.37 88.17 85.26 91.93 98.70 97.84 83.82 ' us real gnp in $1982 ' 'quarterly ; 1947:1 1986:3' 1056.5 1063.2 1067.1 1080.0 1086.8 1106.1 1116.3 1125.5 1112.4 1105.9 1114.3 1103.3 1148.2 1181.0 1225.3 1260.2 1286.6 1320.4 1349.8 1356.0 1369.2 1365.9 1378.2 1406.8 1431.4 1444.9 1438.2 1426.6 1406.8 1401.2 1418.0 1438.8 1469.6 1485.7 1505.5 1518.7 1515.7 1522.6 1523.7 1540.6 1553.3 1552.4 1561.5 1537.3 1506.1 1514.2 1550.0 1586.7 1606.4 1637.0 1629.5 1643.4 1671.6 1666.8 1668.4 1654.1 1671.3 1692.1 1716.3 1754.9 1777.9 1796.4 1813.1 1810.1 1834.6 1860.0 1892.5 1906.1 1948.7 1965.4 1985.2 1993.7 2036.9 2066.4 2099.3 2147.6 2190.1 2195.8 2218.3 2229.2 2241.8 2255.2 2287.7 2300.6 2327.3 2366.9 2385.3 2383.0 2416.5 2419.8 2433.2 2423.5 2408.6 2406.5 2435.8 2413.8 2478.6 2478.4 2491.1 2491.0 2545.6 2595.1 2622.1 2671.3 2734.0 2741.0 2738.3 2762.8 2747.4 2755.2 2719.3 2695.4 2642.7 2669.6 2714.9 2752.7 2804.4 2816.9 2828.6 2856.8 2896.0 2942.7 3001.8 2994.1 3020.5 3115.9 3142.6 3181.6 3181.7 3178.7 3207.4 3201.3 3233.4 3157.0 3159.1 3199.2 3261.1 3250.2 3264.6 3219.0 3170.4 3179.9 3154.5 3159.3 3186.6 3258.3 3306.4 3365.1 3444.7 3487.1 3507.4 3520.4 3547.0 3567.6 3603.8 3622.3 3655.9 3661.4 3683.3