Kurt Lewis and Francisco Vazquez-Grande, "Measuring the Natural Rate
of Interest: a Note on Transitory Shocks", Journal of Applied
Econometrics, Vol. 34, No. 3, 2019, pp. 425-436.

The data file (data-lvg.csv) is an ASCII file in DOS format. It is
zipped in the file lvg-data.zip. The data file contains 11 columns
with 231 rows, including headers.  The columns are: 

Column 1, dates: The dates used are the final day of each quarter
  beginning in 1960-Q1 and ending in 2017-Q2

Column 2, lgdp: The natural log of Real GDP from the BEA

Column 3, infl: The annualized quarterly growth rate of the price
  index for personal consumption expeditures, excluding food and energy
  ("core PCE inflation")

Column 4, lgdpl1: The first lag of the lgdp series

Column 5, lgdpl2: The second lag of the lgdp series

Column 6, infll1: The first lag of the infl series

Column 7, infll2: The second lag of the infl series

Column 8, infll3: The third lag of the infl series

Column 9, infll4: The fourth lag of the infl series

Column 10, ratel1: The real short interest rate from the previous
  quarter. The real short rate is calculated from a nominal short rate,
  from which we subtract off the 4-quarter moving average of inflation
  (core PCE inflation) as a proxy of short-term inflation expectations.
  The nominal short rate is the annualized nominal effective federal
  funds rate, where the quarterly value is constructed from the average
  of the monthly values.  Prior to 1965, we use the Federal Reserve Bank
  of New York's discount rate in place of the effective federal funds rate. 

Column 11, ratel2: The real short interest rate from two quarters earlier