Pelin Ilbas, "Revealing the Preferences of the US Federal Reserve", Journal
of Applied Econometrics, Vol. 27, No. 3, 2012, pp. 440-473.

There are seven series: real GDP, consumption, investment, hours worked,
real wages, GDP deflator and the federal funds rate.  

The series on GDP, nominal personal consumption and fixed private domestic
investment are downloaded from the Bureau of Economic Analysis database of
the US Department of Commerce.  

Real GDP is expressed in terms of 1996 chained dollars, the series on
consumption and investment are deflated with the GDP deflator.  

Inflation is computed as the log difference of the Implicit price deflator.

From the Bureau of Labor Statistics we obtain hours worked and hourly
compensation for the non farming business sector for all persons.  Real wage
is obtained by dividing the latter series by the GDP price deflator.  In
order to correct for the limited coverage of the non farming business sector
with respect to the GDP, we multiply the average hours index, which is the
major sector productivity and costs index, with Civilian Employment figures
of 16 years and over.  

The federal funds rate is taken from the FRED database of the Federal
Reserve Bank of St-Louis.  

Inflation and interest rate are expressed on quarterly basis.  The remaining
variables are expressed in 100 times log.  

The real variables are divided by the population over 16 to express them in
per capita terms.  

All series are seasonally adjusted.

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

The file Ilbas-data.txt contains data from 1947q3 to 2005q4, one observation
per line. There are 234 observations.

Column 1: Consumption
Column 2: Investment
Column 3: Real wage
Column 4: GDP
Column 5: Hours worked
Column 6: Inflation
Column 7: Interest rate