Luca Fanelli and Giulio Palomba, "Simulation-based tests of 
forward-looking models under VAR learning dynamics", Journal of Applied 
Econometrics, Vol. 26, No. 5, 2011, pp. 762-782.

All data are in the text file fp-data.txt, which is an ASCII file in DOS 
format.  It is zipped in the file fp-data.zip. Unix/Linux users should 
use "unzip -a".
 
There are 3 variables, and the sample is 1970:2-2005:4 (143 quarterly
observations).

Data are taken from a release of the Area-Wide Model (AWM) data set 
described (Fagan et al., 2001) available before 2007. A detailed 
description of the variables is in the Appendix of the paper.

The variables are organized by columns and are in the following order:

 1. inflation rate
 2. wage share
 3. short term interest rate.