Joshua Chan, Eric Eisenstat, Chenghan Hou, and Gary Koop, "Composite Likelihood Methods for Large Bayesian VARs with Stochastic Volatility", Journal of Applied Econometrics, Vol. 35, No. 6, 2020, pp. 692-711. There are two files, which contain the same data: freddata_Q.mat (Matlab) freddata_Q.csv (ASCII text in DOS format) They are zipped in the file cehk-data.zip. The data are taken from the Federal Reserve Bank of St. Louis's FRED-QD data set, and the sample period is 1959:Q4-2015:Q4. All data are transformed to stationarity following the recommendations in the FRED-QD database. The first column of the file contains the dates. The second to last columns contain the values of the 257 variables listed in the FRED-QD database (see also McCracken and Ng, 2016). Complete details of all the variables in the dataset are provided there. Reference: McCracken, M. and Ng, S. (2016). FRED-MD: A monthly database for macroeconomic research. Journal of Business and Economic Statistics, 34, 574-589.