Web page of A Course in Time Series Analysis
ed. Pena, Tiao and Tsay, Wiley, 2001

Partial data sets used in the book:

Chapter 9: Heteroscedastic Models
1. Exchange rate: exchrate.dat 
2. S&P 500 excess returns: sp500.dat

Chapter 10: Nonlinear Time Series Models
1. Sunspot series: sunspot.dat
2. Lynx series: lynx.dat
3. Growth rate of US real GNP: dgnp82.dat

Chapter 14: Vector ARMA models
1. Housing data: housing.dat
2. SCC data: scc.dat
3. Gas furnace data: gasfur.dat 
4. Simulated bi-AR(1): sim-bi-ar1.dat 
5. Simulated bi-MA(1): sim-bi-ma1.dat