Florian Huber and Michael Pfarrhofer, "Dynamic Shrinkage in Time-varying
Parameter Stochastic Volatility in Mean Models", Journal of Applied
Econometrics, Vol. 36, No. 2, 2021, pp. 262-270.

The data used in the paper are publicly available at the webpages of
the Federal Reserve Bank (US), the Bank of England (UK) and the
European Central Bank (EA):

- (US): https://research.stlouisfed.org/econ/mccracken/fred-databases /
        https://www.philadelphiafed.org/surveys-and-data/real-time-data-research/real-time-data-set-for-macroeconomists

- (UK): https://www.bankofengland.co.uk/statistics/gdp-real-time-database

- (EA): https://sdw.ecb.europa.eu/browseExplanation.do?node=9689716

For ease of use, we provide both an "rt_data.rda" file and individual
"XX.csv" files for each economy. The "rt_data.rda" file contains three
list objects, "Yraw.XX," with XX referring to {US,UK,EA}. Each list
object is structured such that the individual slots contain the
vintages available at the respective point in time:

- (Yraw.US): 103 vintages, the first vintage starting in 1947:Q2
  ending in 1994:Q3; last vintage starting in 1947:Q2 ending in 2019:Q4
  
- (Yraw.UK): 107 vintages, the first vintage starting in 1970:Q2
  ending in 1990:Q1; last vintage starting in 1970:Q2 ending in 2016:Q3
  
- (Yraw.EA): 74 vintages, the first vintage starting in 1990:Q2 ending
  in 2000:Q4; last vintage starting in 1990:Q2 ending in 2019:Q1.
  
The "*.csv" files are structured per economy similar to the list
described above, with individual vintages being in the columns.

All data files are zipped in the file hp-data.zip. The CSV files are
in DOS format.

R-scripts used for estimating the model are available from the
corresponding author (email address below) upon request (they are not
optimized for ease-of-use, and allow for selecting several further
specifications not used in the paper).

Michael Pfarrhofer
michael.pfarrhofer [AT] sbg.ac.at