Dimitrios P. Louzis, "Steady-State Modelling and Macroeconomic
Forecasting Quality", Journal of Applied Econometrics, Vol. 34, No. 2,
2019, pp. 285-314.

All data files are ASCII files in DOS format. They are zipped in the
file dl-data.zip.  Unix/Linux users should use "unzip -a".

Real time data are in the following CSV (MS-DOS) files:

Variable                      File name

GDP                           realtimeGDPp.csv
Consumption                   realtimePCEp.csv
BFI                           realtimeNonResindentialp.csv
Residential Investment        realtimeResindentialp.csv
Industrial Production         realtimeIPQp.csv
Capacity Utilization          realtimeCUMQp.csv
Employment                    realtimeEmployQp.csv
Hours                         realtimeHoursQp.csv
GDP Deflator                  realtimeGDPDeflp.csv
PCE Deflator                  realtimePCEDeflp.csv 

The data sample ranges from 1965:Q1 to 2016:Q1 and include vintages
form 1985:Q1 to 2016:Q2. The first column reports the dates, while the
first line reports the vintages.  The last column of the file,
"ACTUAL", are the actual data used for forecasting evaluation.

The non-revised data are in the following CSV files:

Variable                      File name

Fed Funds Rate                FEDFUNDSp.csv
Unemployment rate             URp.csv
S&P 500                       SP500p.csv
GS10                          GS10p.csv

The term spread is calculated as GS10 - FFR. 

Real-time data were obtained from the Real Time Data Set for
Macroeconomists (RTDSM) database of the Federal Reserve Bank of
Philadelphia, while the non-revised data from Federal Reserve Economic
Data maintained by the Federal Reserve Bank of St. Louis.

All variables are transformed to annualized log differences except for
Capacity Utilization, Unemployment rate, Fed funds rate and Term
spread, where no transformation was applied.