Kajal Lahiri and Fushang Liu, "Modeling Multi-Period Inflation
Uncertainty Using a Panel of Density Forecasts," Journal of Applied
Econometrics, Vol. 21, No. 8, 2006, pp. 1199-1219.

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

Two datasets are used in this paper. One is the Survey of Professional
Forecasters (SPF), which provides data on the inflation forecasts. A
detailed description of this data set can been found at

   http://www.phil.frb.org/files/spf/readme.html.
   
Three files contain the data from this dataset until 2003Q4. They are
spf1.txt, spf2.txt and spf3.txt.

Actual data on macroeconomic variables come from the real-time dataset
provided by the Federal Reserve Bank of Philadelphia. See

   http://www.phil.frb.org/econ/forecast/readow.html).
   
If real-time data are not available, we also use revised data. Files
containing real-time data include:

  pp.txt: quarterly data on Output-Price Index
  routput.txt: quarterly data on real Output
  ruc.txt: monthly data on total civilian unemployment rates 
  m1mrl.txt: monthly data on money supply measure M1

The format of each real time data file is: The first and second rows index
the year and the quarter (month) when data is available. The first column
indexes the date of each observation. So each column except the first
contains the data avaible at the date specified in the first and second rows
of that column. 

Files containing revised data are as follows. Sources of revised data can be
found in the data appendix of the text.

  commodityprice.txt: monthly data on commodity price
  m2mrev.txt: monthly data on money suppy measure M2
  ppioil.txt: monthly data on crude oil price
  nwage.txt: monthly data on nominal wage
  SP500.txt: monthly data on stock price    
  intr-rate.txt: Monthly data on 10-year T-bond and 3-months T-bill rates

Except for intr-rate.txt, the first and second columns of each file index the
year and month of obervations, and the third column contains the obervations
at different dates. For intr-rate.txt, the first and second columns are as
other files. The third column has data on 3-month T-bill rates. The fourth
column has data on 10-year T-bond. The fifth column has data on the spread
between these two rates. 

In all files, "-999" or "-99" refers to missing observations.