11/17/93 George Tauchen Duke University Documentation for the File traj7792.dat The file traj7792.dat contains daily data, 1977-92, on three variables: the Standard and Poor's composite price index, the Deutschemark - dollar exchange rate, and the three-month Euro-dollar interest rate. Data are given in raw form and in adjusted form, where systematic effects in location and scale are removed using a robust procedure. Below, the following symbols are used for the raw data: SP: Standard and Poor's composite index DM: Exchange rate in DM/$ ED: Three month Euro-dollar interest rate Data are arranged in a conventional rectangular layout: Col 1 - yymmdd Col 2 - day of the week (1=Monday, ..., 5=Friday) Col 3 - holiday dummy Col 4 - weekend dummy Col 5 - gap (number of calendar days since preceding trading day) Col 6 - number of calendar days since the beginning of the year (useful for plots) Col 7 - adjusted version of 100*(log(SP_t) - log(SP_t-1)) Col 8 - adjusted version of 100*(log(1/DM_t) - log(1/DM_t-1)) Col 9 - adjusted version of ED Col 10 - 100*(log(SP_t)) - log(SP_t-1)) Col 11 - 100*(log(DM_t))) - log(DM_t-1))) Col 12 - raw ED series Col 13 - raw SP series Col 14 - raw DM series SAS code that will read the file traj7792.dat follows. data work00; infile './traj7792.dat'; input yymmdd 1-6 day 7-8 hol 9-10 wkend 11-12 gap 13-15 fromjan 16-19 +1 spadj e17. +1 dmadj e17. +1 edadj e17. +1 sp e17. +1 dm e17. +1 ed 5.2 +1 spraw 6.2 +1 dmraw 6.4 ;