yields.dat

The data are monthly zero coupon yields from 1952 through 1999 at
maturities 003, 006, 012, 024, 036, 060, 08, 120 months.  The data
are read as

      integer*4 yy,mm 
      real*8 r003,r006,r012,r024,r036,r060,r084,r120 
      read(14,'(2i5,8f8.3)') 
     &    yy,mm,r003,r006,r012,r024,r036,r060,r084,r120 

The source is Ahn, Dong-Hyun, Robert F. Dittmar, A. Ronald Gallant, Bin
Gao, "Hybrid Term Structure Models," Manuscript, Kenan-Flagler Business
School, University of North Carolina, Chapel Hill NC 27599-3490 USA.
That paper used r006, r036, r120.

The original source is Huston McCulloch and Heon-Chul Kwon,
http://economics.sbs.ohio-state.edu/mccull.html for January, 1952,
through February, 1991, and Daniel Waggoner at the Atlanta Fed, who
used the Bliss, R. R. (1997), "Testing term structure estimation methods,"
Advances in Futures and Options Research 9, 197-231, methodology, for
the November, 1971, through December, 1999.

For the overlap period of November, 1971, through February,
1991, the data were combined by using a convex combination

   lamba*(MuCulloch-Kwon data)+(1-lambda)*(Waggoner data) 

where lamda declines linearly from one in October, 1971, to zero in
March, 1991. 

Ron Gallant
November 30, 2000