Kajal Lahiri and Xuguang Sheng, "Measuring Forecast Uncertainty by
Disagreement: The Missing Link", Journal of Applied Econometrics,
Vol. 25, No. 4, 2010, pp. 514-538.

The data used in this article are from Survey of Professional Forecasters
(SPF) that is provided by the Federal Reserve Bank of Philadelphia. There
are three files. All files are ASCII files in DOS format, and they are
zipped in the file ls-data.zip. Unix/Linux users should use "unzip -a".

The first file, named realgdp.ls.txt, contains the forecasts for real GDP
growth over 1981:Q3 to 2007:Q4. After deleting observations with missing
values and requiring that survey respondents participated in at least 17
surveys, there are about 2,342 observations in output growth forecasts. The
variables are defined as follows:

Year - the year in which the survey was made;

Horizon - forecast horizon, measured as the number of quarters to the end of
the target year;

ID - forecast ID number for each survey respondent, assigned by the SPF;

Mean - the average (mean) value of the density forecast reported by
individual i;

Variance - the variance of the density forecast reported by individual i. 

The second file, named inflation.ls.txt, contains the forecasts for
inflation over 1969:Q1 to 2007:Q4. After deleting observations with missing
values and requiring that survey respondents participated in at least 25
surveys, there are about 2,787 observations in inflation forecasts. The
meaning of the variables are the same as those in realgdp.ls.txt.

The third file, named actual.ls.txt, gives the actual values of inflation
and real GDP growth. We choose the first release of annual inflation and 
output growth to compute the actual values. These are the real-time data
available from the Federal Reserve Bank of Philadelphia.

Please address any questions to:

Kajal Lahiri
Department of Economics
University at Albany, SUNY
Albany, NY 12222
USA