The dat files contain the data in raw (ASCII) format. The txt files contain short explanations and summary statistics. The wf1 files are in Eviews format, and dta files are in Stata format. Please contact the author at M.Verbeek@fbk.eur.nl if you experience any problems downloading these files.

Chapter 2 An Introduction to Linear Regression
• wages in the USA (wages1.dat, wages1.txt, wages1.wf1, wages1.dta)
• CAPM/industry returns (capm2.dat, capm2.txt, capm2.wf1, capm2.dta)
• asset pricing (assets2.dat, assets2.txt, asset2s.wf1, assets2.dta)

Chapter 3 Interpreting and Comparing Regression Models
• house prices in Canada (housing.dat, housing.txt, housing.wf1, housing.dta)
• wages in Belgium (bwages.dat, bwages.txt, bwages.wf1, bwages.dta)
• fashion stores (clothing.dat, clothing.txt, clothing.wf1, clothing.dta)

Chapter 4 Heteroskedasticity and Autocorrelation
• labour demand (labour2.dat, labour2.txt, labour2.wf1, labour2.dta)
• icecream consumption (icecream.dat, icecream.txt, icecream.wf1, icecream.dta)
• foreign exchange markets (forward2.dat, forward2.txt, forward2.wf1, forward2.dta)
• air quality (airq.dat, airq.txt, airq.wf1, airq.dta)

Chapter 5 Endogeneity, Instrumental Variables and GMM
• returns to schooling (schooling.dat, schooling.txt, schooling.wf1, schooling.dta)
• intertemporal asset pricing (pricing.dat, pricing.txt, pricing.wf1, pricing.dta)

Chapter 7 Models with Limited Dependent Variables
• unemployment benefits (benefits.dat, benefits.txt, benefits.wf1, benefits.dta)
• willingness to pay (wtp.dat, wtp.txt, wtp.wf1, wtp.dta)
• patents and R&D expenditures (patents.dat, patents.txt, patents.wf1, patents.dta)
• expenditures on alcohol and tobacco (tobacco.dat, tobacco.txt, tobacco.wf1, tobacco.dta)

Chapter 8 Univariate Time Series Models
• price/earnings ratio (pe.dat, pe.txt, pe.wf1, pe.dta)
• purchasing power parity (ppp.dat, ppp.txt, ppp.wf1, ppp.dta)
• term structure of interest rates (irates.dat, irates.txt, irates.wf1, irates.dta)
• daily exchange rates (garch.dat, garch.txt, garch.wf1, garch.dta)
• daily returns (sp500.dat, sp500.txt, sp500.wf1, sp500.dta)
• quarterly income (income.dat, income.txt, income.wf1, income.dta)

Chapter 9 Multivariate Time Series Models
• spurious regression data (spurious.dat, spurious.txt, spurious.wf1, spurious.dta)
• purchasing power parity (ppp.dat, ppp.txt, ppp.wf1, ppp.dta -duplicate from Ch. 8)
• money demand and inflation (money.dat, money.txt, money.wf1, money.dta)
• quarterly income (income.dat, income.txt, income.wf1, income.dta - duplicate from Ch. 8)

Chapter 10 Models Based on Panel Data
• NLS individual male wages (males.dat, males.txt, males.dta)