6/24/02 

Documentation for variables in the data set annual4.dat:

Col 1: Year
    2: End of year combined NYSE-AMEX real capitalization, $1996.
    3: Cumulative real dividend over the year, $1996; monthly dividend is that
       implied by the returns with and without dividend and the capitalization.
    4: Cumulative real ($1996) return over the year on the stock market, 
       computed as the 12-month total of one-month geometric value-weighted 
       returns.
    5: Quadratic variance, measured as the sum over the year of the squared
       monthly geometric returns.
    6: Per Capita Durable Goods Consumption, $1996.
    7: Per Capita Non Durable Goods Consumption, $1996.
    8: Per Capita Services, $1996.
    9: Population, thousands.
   10: Expected inflation computed as a 12-month trailing moving average of 
       CPI geometric growth rate.
   11: Three month T-Bill rate (end of year rate).


Sources: CRSP data, BLS data, and FRED and NBER web sites.

George Tauchen
george.tauchen@duke.edu