Drew Creal, Siem Jan Koopman, and Eric Zivot, "Extracting a Robust U.S. Business Cycle Using a Time-varying Multivariate Model-based Bandpass Filter", Journal of Applied Econometrics, Vol. 25, No. 4, 2010, pp. 695-719. All data are in the file ckz-data.txt, which is zipped in ckz-data.zip. The former is an ASCII file in DOS format. Unix/Linux users shoild use "unzip -a". The data were obtained from the FRED database at the Federal Reserve Bank of St. Louis. The data run from the first quarter of 1947 through September of 2007. Some series are monthly, and some series are quarterly. The acronyms that the FRED database uses for each series are given below, along with the definitions of all variables: indpro: monthly U.S. industrial production (INDPRO) CPI index: monthly U.S. consumer price index for all urban consumers (CPIAUCSL) unemp: monthly U.S. unemployment rate (UNRATE) manufacturing: average weekly hours manufacturing (AWHMAN) retail sales: real retail sales (RSALES). NOTE: this was discontinued in 2001. retail sales 2: real retail sales and food services (RRSFS). RGDP: quarterly U.S. real gdp (GDPC96) Investment: quarterly U.S. real gross private domestic investment (GPDIC96) NFBS Prod: output per hour of all persons in the non-farm business sector (OPHNFB) hours NFBS: hours in the U.S. non-farm business sector (HOANBS) PCDGCC96: real personal consumption expenditures on durable goods (PCDGCC96) PCESVC96: real personal consumption expenditures on services (PCESVC96) PCNDGC96: real personal consumption expenditures on non-durable goods (PCNDGC96) Drew Creal dcreal [AT] chicagobooth.edu