Dimitris Korobilis, "VAR forecasting using Bayesian variable selection", 
Journal of Applied Econometrics, Vol. 28. No. 2, 2013, pp. 204-230.

There are two data files, one in .txt and one in .xls format. The .txt 
file, Korobilis-data.txt, is zipped in dk-data-txt.zip. The .xls file, 
Korobilis-data.xls, is zipped in dk-data-xls.zip. Unix/Linux users 
should use "unzip -a" on dk-data-txt.zip, but "unzip" (without the -a 
option) on dk-data-xls.zip.

The two data files contain exactly the same 14 data series, with their
mnemonics and description:

MGSX	LFS: Unemployment rate: UK: All: Aged 16 and over: %: SA
U_GAP	Unemployment gap
RPIX	CZBH - RPI:Percentage change over 12 months - all items
AJNB	Treasury bills: average discount rate
MGSU	LFS: Employment rate: UK: All: Aged 16-59/64: %: SA
GDP	IHYR - Gross Domestic Product: Quarter on quarter previous year: CVM SA
AUSS	AUSS - Sterling exchange rate : #1 = US dollar
ETBV	CBI INDUSTRIAL TRENDS SURVEY: Business Optimism: Balance: NEXT 4 MONTHS
YBGB	Gross Domestic Product (Expenditure) at market prices deflator: SA
NRJS	HN:Households saving ratio: CP SA
ATTD	Money stock M4 end period - # billions SA
BCJE	Claimant count rate - all - SA (UK) %
CKYW	IOP: C,D,E: All production industries: CVMSA
BCGT	New registrations of cars (GB), thousands

These are UK quarterly macroeconomic series covering the period 1971:Q1 --
2008:Q4. All series where downloaded from the Office for National Statistics
(ONS) website in June 2009.

The variable MGSX (Unemployment rate, All aged 16+, Seasonally Adjusted) is
NOT used anywhere as is (in levels). Instead, as I explain in the beginning
of Section 4 in the paper, an unemployment GAP variable is calculated (which
is respectively the second variable in the list above).

All (linear and nonlinear) three-variable "small" VARs include the
Unemployment GAP, the RPIX, and the short-term interest rate. These three
variables plus the remaining 10 are used alltogether only in the (linear)
thirteen-variable "large" VAR.

MATLAB code which estimates the linear VAR and the time-varying parameters
VAR with variable selection, is available since September 2009 in the MATLAB
suite of Gary Koop and Dimitris Korobilis:

http://personal.strath.ac.uk/gary.koop/bayes_matlab_code_by_koop_and_korobilis.html

or

http://perso.uclouvain.be/dimitrios.korompilis/code.html

(click on: "Code for BVAR with variable selection as in Korobilis (2009b) is
available here")

Dimitris Korobilis
dikorobilis [AT] googlemail.com