Instructional dataset, Accompanying Econometric Analysis of Financial Time Series, Terence C. Mills, Cambridge University Press, 2d ed. (c) 2000 Datasets also accessible in ASCII from http://www.lboro.ac.uk/departments/ec/cup Includes the variables: S&P500: S&P 500 index, annual, 1871 to 1997 (127 observations); S&P500R: S&P 500 real returns, annual 1872 to 1995 (124 observations)