Norman Swanson, Weiqi Xiong, and Xiye Yang, "Predicting Interest Rates
Using Shrinkage Methods, Real-Time Diffusion Indexes, and Model
Combinations", Journal of Applied Econometrics, Vol. 35, No. 5, 2020,
pp. 587-613.

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

Three datasets were used in this article. These are:

FRED_MD Directory:

  So-called FRED_MD data are contained in csv files in this directory.
  The FRED-MD data are real-time macroeconomic data collected for all
  vintages of each calendar dated observation for a number of
  variables. The dataset is avaailble at the Federal Reserve Bank of
  St. Louis website. The directory also contains the original
  documenatation that came with the data when downloaded.

FRB_H15_Daily.csv:

  These data are U.S. Treasury securities yields, constant maturity,
  for 3-month, 6-month, and 1-10 year maturity bills and bonds. This
  dataset is called the H-15 dataset, and is avaailble at the Federal
  Reserve Bank of St. Louis website. 

GSW_Daily.csv:

  These data are U.S. Treasury securities yields, constant maturity,
  zero coupon, for 1-30 year maturity bonds. This dataset is often 
  called the GSW dataset, and was constructed and first reported on in
  Gurkaynak, R. S., B. Sack, and J. H. Wright (2007): “The US Treasury
  Yield Curve: 1961 to the Present,” Journal of Monetary Economics,
  54, 2291–2304. These data can be downloaded at
  https://www.quandl.com/data/FED/SVENY-US-Treasury-Zero-Coupon-Yield-Curve

Additional note: Various codes for the paper are available at
http://econweb.rutgers.edu/nswanson/comp.htm.