Marta Banbura and Michele Modugno, "Maximum Likelihood Estimation of Factor Models on Data Sets with Arbitrary Pattern of Missing Data", Journal of Applied Econometrics, Vol. 29, No. 1, 2014, pp. 133-160. In this paper we have used 101 variables, monthly and quarterly, spanning the period 1993-2009 (some series starting later), as available in October 2009. The data are described in Appendix A (Data Description) in the paper. In case for a given reference period an observation for a given variable is not available, NaN is entered. The data are represented at monthly frequency. For the quarterly variables, we follow the usual convention and for each quarter assign the observation to the last month of the quarter and NaN for the remaining two months. 86 series are available on SDW, the Statistical Data Warehouse maintained by the European Central Bank (http://sdw.ecb.europa.eu/home.do). They are enclosed in the file bm-data.txt, where each variable is a column and the first two columns indicate the reference period of each observation (year and month). The list of variables is reported in the file List_of_variables.txt Both of these files are ASCII text files in DOS format. They are zipped in the file bm-files.zip. Unix/Linux users should use "unzip -a". The data have been already transformed to be stationary using the transformations described in Appendix A. The other 15 series have been purchased by the European Central Bank from the respective data providers and can be used only for internal purposes. Therefore, they cannot be posted here. These series are: PMS Composite: output PMS Composite: employment PMS Manufacturing: purchasing manager index PMS Manufacturing: employment PMS Manufacturing: output PMS Manufacturing: productivity PMS Services: output PMS Services: employment PMS Services: new business PMS Services: productivity Provider: Markit Oil price, brent crude, 1 month forward Dow Jones Euro Stoxx 50 Price Index Dow Jones Euro Stoxx Price Index S&P 500 composite price index US, STOCK-EXCH. PRICES, DOW JONES, INDUSTRIAL AVERAGE Provider: DataStream