David I. Harvey and Paul Newbold, "Tests for Multiple Forecast
Encompassing", Journal of Applied Econometrics, Vol. 15, No. 5, 2000, pp. 
471-482. 

The data are in the ASCII file hn-data.data.

The data are forecasts and actuals of UK GDP growth and inflation made by
the London Business School (LBS), Her Majesty's Treasury (HMT) and the
National Institute of Economic and Social Research (NIESR). The data set was
originally constructed by Pepper (Inside Thatcher's Monetarist Revolution,
Macmillan, 1998). The precise variable definitions vary across institutions
and through time - the full details and data sources are given in Pepper
(1998, Appendix 8.3).

The data are arranged in 36 rows, two for each year. There are 19 columns,
10 in the first row for each year and 9 in the second.

1. Year.

2. Actual growth using LBS definition (LBSG).

3. LBS forecast of growth for year given in column 1 made 10 months
   previously (LBSG10).

4. LBS forecast of growth for year given in column 1 made 14 months
   previously (LBSG14).

5. Actual growth using HMT definition (HMTG).

6. HMT forecast of growth for year given in column 1 made 9 months
   previously (HMTG9).

7. HMT forecast of growth for year given in column 1 made 13 months
   previously (HMTG13).

8. Actual growth using NIESR definition (NIESRG).

9. NISER forecast of growth for year given in column 1 made 10 months
   previously (NIESRG10).

10. NIESR forecast of growth for year given in column 1 made 13 months
    previously (NIESRG13).

11. Actual inflation using LBS definition (LBSI).

12. LBS forecast of inflation for year given in column 1 made 10 months
    previously (LBSI10).

13. LBS forecast of inflation for year given in column 1 made 14 months
    previously (LBSI14).

14. Actual inflation using HMT definition (HMTI).

15. HMT forecast of inflation for year given in column 1 made 9 months
    previously (HMTI9).

16. HMT forecast of inflation for year given in column 1 made 13 months
    previously (HMTI13).

17. Actual inflation using NIESR definition (NIESRI).

18. NISER forecast of inflation for year given in column 1 made 10 months
    previously (NIESRI10).

19. NIESR forecast of inflation for year given in column 1 made 13 months
    previously (NIESRI13).