Claudia Foroni, Massimiliano Marcellino, and Dalibor Stevanovic,
"Mixed Frequency Models with MA Components", Journal of Applied
Econometrics, Vol. 34, No. 5, 2019, pp. 688-706.

The data used in this paper are publicly available at the FRED and Alfred
websites.

All data are in xlsx files that are zipped in the file fms-data.zip.

The folder Historical_Data contains data listed in Table 5 of the
paper. These time series are in levels, so the appropriate
transformation must be applied. For example, the first difference of
logarithms must be taken for GDP. Details are in the paper. 

The folder vintageData_23-05-2018 contains real time data used for the
analysis in Appendix C. GDP deflator, CPI and PCEPI vintages are taken
from the Alfred data base. GDP, Investment, Employment, and Industrial
Production are taken from Philadelphia Fed real-time data base.  The
same transformations as for the historical data must be applied prior to
estimation.

Copyright: Please cite the paper properly when using any part of this
package. The usual disclaimer applies.

Dalibor Stevanovic
dstevanovic.econ [AT] gmail.com