Michael P. Clements and Ana Beatriz Galvao, "Real-time Forecasting of 
Inflation and Output Growth with Autoregressive Models in the Presence 
of Data Revisions", Journal of Applied Econometrics, Vol. 28, No. 3, 
2013, pp. 458-477.

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

1. US real-time data. Source: Real-time Data Set for Macroeconomists --
Federal Reserve Bank of Philadelphia.
 
(A) Quarterly vintages from 1965:Q4 up to 2009:Q1 (columns: 174)
    Quarterly Observations from 1959:Q1 up to 2008:Q4 (rows: 200) 

Real output: gdpa2.csv
GDP Deflator: infla2.csv
PCE Deflator: inflpcea2.csv

(B) Monthly vintages from 1965:M9 up to 2009:M3 (columns: 521)
Quarterly vintages were computed using the first month in each quarter.
Monthly observations from 1959:M1 up to 2009:M2 (rows: 601) 

Total Industrial Production: iptav2.csv 
Non-farm payroll (employment): employavq.csv


2. UK real-time data. Source: Bank of England. 

Quarterly vintages from 1976:Q1-2009:Q1 (columns: 134). Quarterly
Observations from 1968:Q1 up to 2008:Q4 (rows: 134).  Real output:
ukgdp.csv