8/17/97

Data for Gallant, A. Ronald, and George Tauchen (1998), Reprojecting
Partially Observed Systems with Application to Interest Rate Diffusions,
Journal of the American Statistical Association, forthcoming.

The current release of major software components for the JASA article
together with examples and a user's guide in PostScript are available by
anonymous ftp from ftp.econ.duke.edu in directories pub/arg/snp and
pub/get/emm.  The article used the series tb3mo described below.

These data are 1,809 weekly observations, January 5, 1962 -- August 30,
1996, on three interest rates: the three month Treasury Bill rate from
the secondary market, the twelve month Treasury Bill rate from the
secondary market, and a ten year constant maturity Treasury Bond rate.
Friday rates are used except when unavailable due to a holiday, in which
case the Thursday rate is used.

The file yc.dat is written according to the following SAS format

  put(yy mm dd tb3mo tb12mo tb10yr) (3.0 3.0 3.0 6.2 6.2 6.2);

where 

  yy is year, 
  mm is month, 
  tb3mo is the 3 month treasury bill rate (secondary market), 
  tb12mo is the 12 month treasury bill rate (secondary market), and 
  tb10yr is the 10 year constant maturity treasury yield.

Each day is a Friday quote.  When Friday is a holiday, Thursday's quote
is substituted.

Secondary market rates are annualized using a 360-day year or bank
interest and quoted on a discount basis.

Yields on Treasury securities at 'constant maturity' are interpolated by
the U.S.  Treasury from the daily yield curve.  This curve, which
relates the yield on a security to its time to maturity, is based on the
closing market bid yields on actively traded Treasury securities in the
over-the-counter market.  These market yields are calculated from
composites of quotations reported by five leading U.S.  Government
securities dealers to the Federal Reserve Bank of New York.  The
constant maturity yield values are read from the yield curve at fixed
maturities, currently 1, 2, 3, 5, 7, 10, and 30 years.  This method
provides a yield for a 10-year maturity, for example, even if no
outstanding security has exactly 10 years remaining to maturity.

These data may be reused for any noncommercial purpose provided the
article is cited.  The authors take no responsibility for errors.  These
same data are readily available from the Federal Reserve (see their Web
page) and users for whom accuracy and currency are important should look
there.

A. Ronald Gallant
ron_gallant@unc.edu