Christoph Frey and Frieder Mokinski, "Forecasting with Bayesian Vector Autoregressions Estimated Using Professional Forecasts", Journal of Applied Econometrics, Vol. 31, No. 6, 2016, pp. 1083-1099. The processed data, which are used to recursively re-estimate the Bayesian VAR, are contained in a number of separate files. These data files are all zipped in the file fm-data.zip. Each of them is an ASCII file in DOS format. Unix/Linux users should use "unzip -a". Further details about estimation and the data can be found in the paper and in the online appendix. 1) realTimeEstimationVintage"YYYYQQ".csv ---------------------------------------- 109 files, one for each real-time estimation sample (YYYYQQ) Column 1: time series dates Columns 2-11: processed real-time data (see table 1 of the paper) from real-time data vintage "YYYYQQ"; VARIABLES: real GDP growth (2), GDP deflater inflation (3), CPI inflation (4), industrial production growth (5), Growth in nonresidential fixed investment (6), growth in real personal consumption expenditures (7), housing starts (8), unemployment rate (9), 10y treasury bond yield (10), 3m treasury bill yield (11) DATA SOURCE: Philadelphia Federal Reserve Bank's Real-Time Data Set for Macroeconomists http://www.phil.frb.org/research-and-data/real-time-center/real-time-data/ Columns 12-17: survey nowcasts (forecast target period = point in time when forecasts are made = time series data specified in column 1) VARIABLES: real GDP growth (12), GDP deflater inflation (13), CPI inflation (14), industrial production growth (15), housing starts (16), unemployment rate (17) DATA SOURCE: Philadelphia Federal Reserve Bank's quarterly Survey of Professional Forecasters http://www.phil.frb.org/research-and-data/real-time-center/survey-of-professional-forecasters/ 2) LongTermForecasts.csv ------------------------ Column 1: time series dates Columns 2-5: avg. long-term forecasts (point in time when forecasts are made = time series date specified in column 1) for real gdp growth (2), CPI inflation (3), 10y treasury bond yield (4), 3m treasury bill yield (5) DATA SOURCE: Philadelphia Federal Reserve Bank's quarterly Survey of Professional Forecasters http://www.phil.frb.org/research-and-data/real-time-center/survey-of-professional-forecasters/ 3: Realizations.csv ------------------- Realizations to evaluate the forecasts; value recorded in the second vintage following the quarter, to which the prediction refers Colums 1: time series dates Colums 2-11: realizations of the variables, same column-ordering as in realTimeEstimationVintage"YYYYQQ".csv