Joshua C.C. Chan and Eric Eisenstat, "Efficient Estimation of Bayesian 
VARMAs with Time-Varying Coefficients", Journal of Applied Econometrics, 
Vol. 32, No. 7, 2017, pp. 1277-1297.

All data are in the file ce-data.csv, which is zipped in ce-data.zip.
Since the data file is an ASCII file in DOS format, Unix/Linux users
should use "unzip -a".

The sample period is from 1959Q3 to 2013Q2. The first and second
columns are, respectively, the first log difference of real GDP and
the second log difference of the CPI index. The data are then
standardized using the mean and standard deviation of the estimation
sample from 1959Q3 to 1974Q4.