Luca Sala, "DSGE Models in the Frequency Domain", Journal of Applied
Econometrics, Vol. 30, No. 2, 2015, pp. 219-240.

All data are stored in the file Sala-DSGE-data.txt, which is an ASCII
file in SOS format. It is zipped in sala-data.zip. Unix/Linux users
should use "unzip -a".

The data were downloaded from the FRED database at the St. Louis Fed. 

Mnemonic        Name and description:
in FRED:        

COMPNFB		Nonfarm Business Sector: Compensation Per Hour
                  (BLS, Quarterly)
GDPC96		Real Gross Domestic Product, 3 Decimal
                  (BEA, Quarterly)
GDPDEF		Gross Domestic Product: Implicit Price Deflator
                  (BEA, Quarterly)
GPDI		Gross Private Domestic Investment
                  (BEA, Quarterly)
PCDG		Personal Consumption Expenditures: Durable Goods
                  (BEA, Quarterly)
PCEC		Personal Consumption Expenditures
                  (BEA, Quarterly)
CNP16OV		Civilian Noninstitutional Population
                  (BLS, Monthly, Quarterly average)
FEDFUNDS	Effective Federal Funds Rate
                  (Board of Governors, Monthly, Quarterly average)
PRS85006023	Nonfarm Business Sector: Average Weekly Hours (PRS85006023)
                  (BLS, Quarterly)
CE16OV		Civilian Employment
                  (BLS, Monthly, Quarterly average)


Transformations:

Y		GDPC96/CNP16OV

I		(GDPI+PCDG)/(GDPDEF*CNP16OV)

C		(PCEC-PCDG)/(GDPDEF*CNP16OV)

W		COMPNFB/GDPDEF

H		(PRS85006023*CE16OV)/CNP16OV

Gross_infl	GDPDEF(t)/GDPDEF(t-1)

Gross_r		(1+FEDFUNDS/100)^(1/4)


The sample is: 1959Q3 to 2010Q4 (206 quarters; most data are missing
for 1959Q3).

Data are stored as follows:

COMPNFB  GDPC96  GDPDEF  GPDI  PCDG  PCEC  CNP16OV  FEDFUNDS  PRS85006023
CE16OV  Y  I  C  W  H  Gross_infl  Gross_r