F. Smets and R. Wouters, "Comparing Shocks and Frictions in US and Euro
Area Business Cycle: A Bayesian DSGE Approach", Journal of Applied
Econometrics, Vol. 20, No. 2, 2005, pp. 161-183.

For the US, consumption, investment and GDP are taken from the US
Department of Commerce - Bureau of Economic Analysis databank. Real Gross
Domestic Product is expressed in billions of chained 1996 dollars. Nominal
Personal Consumption Expenditures and Fixed Private Domestic Investment are
deflated with the GDP-deflator.  Hours and wages are taken from the Bureau
of Labour Statistics (hours and hourly compensation for the NFB sector for
all persons). Hourly compensation is divided by the GDP price deflator to
get the real wage.  Hours are adjusted to take into account the limited
coverage of the NFB sector compared to GDP. The index of average hours for
the NFB sector is multiplied with civilian employment (16 years and over).
The aggregate real variables are expressed per capita by dividing with the
population over 16.  All series are seasonally adjusted. Consumption,
investment, GDP, wages and hours are expressed in 100 times the log.

Inflation is the first difference of the log Implicit Price Deflator of the
GDP series. The interest rate is the Federal Funds Rate. The interest rate
and inflation rate are expressed on a quarterly basis corresponding with
their appearance in the model (in the graphs the series are translated on
an annual basis).

For the euro area, all data are taken from the AWM database from the ECB
(see Fagan et al, 2000).  Investment includes both private and public
investment expenditures. Real variables are deflated with their own
deflator.  In the absence of data on hours worked, we use total employment
data for the euro area. The series are updated for the most recent period
using growth rates for the corresponding series published in the Monthly
Bulletin of the ECB.  Consumption, investment, GDP, wages and employment
are expressed in 100 times the log.

Inflation is calculated as the first difference of the log GDP deflator.
The interest rate is the short term interest rate that is present in the
AWM database. The interest rate and inflation rate are expressed on a
quarterly basis corresponding with their appearance in the model

All data are in the file sw-data.txt, which is an ASCII file in DOS format.
It is zipped in the file sw-data.zip. Unix users should use "unzip -a".

The file sw-data.txt contains data from 1970q1 to 2002q2, one observation
per line. There are 130 observations.

Column 1: year
Column 2: quarter

US data
Column 3: Consumption
Column 4: Investment
Column 5: GDP
Column 6: Hours worked
Column 7: Inflation
Column 8: Real wage
Column 9: Interest rate

Euro area data
Column 10: Consumption
Column 11: Investment
Column 12: GDP
Column 13: Employment
Column 14: Inflation
Column 15: Real wage
Column 16: Interest rate