David I. Harvey, Stephen J. Leybourne, Robert Sollis and A. M. Robert 
Taylor, "Real-Time Detection of Regimes of Predictability in the U.S. 
Equity Premium", Journal of Applied Econometrics, Vol. 36, No. 1,
2020, pp. 45-70.

There are two zip files, PR-data.zip and PR-code.zip. The files
within them are ASCII files in DOS format. Unix/Linux users should use
"unzip -a".

Data folder: PR-data.zip

File 1: mfvdata.csv

Column order: (1) MATLAB date numbers (2) equity premium (3)-(12)
macroeconomic and financial variables in the order given in Table 1
(13) NBER indicator. 

File 2: taidata.csv

Column order: (1) MATLAB date numbers (2) equity premium (3)-(12)
technical analysis indicators in the order given in Table 1 (13) NBER
indicator. 

File 3: voldata.csv

Column order: (1) S&P Composite Index volume.

Sources: all variables in mfvdata.csv and taidata.csv were constructed
from an extended version of the dataset used by Welch and Goyal
(2008). "A Comprehensive Look at The Empirical Performance of Equity
Premium Prediction", Review of Financial Studies, 21, 1455-1508,
downloaded from www.hec.unil.ch/agoyal/ (except for the on-balance
volume indicators, which also used the volume data in voldata.csv
downloaded from https://www.google.co.uk/finance, and the NBER
indicator, which we downloaded from https://fred.stlouisfed.org/).

Code folder: PR-code.zip 

Subfolder: PRmain
Contents: scripts to generate Tables 1-2 and Figures 1-8.

Subfolder: PRappendix
Contents: scripts to generate Tables S2-S7 and Figures S1-S13.

Subfolder: PRfunctions
Contents: functions used by the scripts in PRmain and PRappendix. 

Subfolder: PRconstruct
Contents: scripts and functions to construct mfvdata.csv and taidata.csv.

Please note: the PRdata folder and PRfunctions subfolder are already
added to the search path for all of the scripts in PRmain and
PRappendix whenever they are needed, assuming that PRdata and PRcode
are both on the C: drive.