Francis X. Diebold and Lutz Kilian, "Measuring Predictability: Theory and
Macroeconomic Applications", Journal of Applied Econometrics, Vol. 16,
No. 6, 2001, pp. 657-669.

All data files are in DOS format and are zipped in the file dk-data.zip.
Unix users should use "unzip -a".

There are two data sets:

1. invest.dat (190 quarterly observations: 1947.II-1994.III)
This data set is from CitiBase.  All investment data but the inventory
series are in logs.  The data are given in column format in the order:

gpiq    Total
gvuq    Inventories
girq    Residential
ginq    Nonresidential
gipdq   Producer Durables
gisq    Structures

2. hansen.dat (115 quarterly observations: see Hansen (JME, 1985) for
details) This data set was kindly provided to us by Gary Hansen.  It is the
original data set for Hansen (JME, 1985).  All data are in logs.  The data
are given in column format in the order:

gnpq    Output
gcq     Consumption
gpiq    Investment
hours   Hours worked
cap     Capital stock