Markus Jochmann, Gary Koop, Roberto Leon-Gonzalez, and Rodney Strachan, 
"Stochastic Search Variable Selection in Vector Error Correction Models 
with an Application to a Model of the UK Macroeconomy", Journal of 
Applied Econometrics, Vol. 28, No. 1, 2013, pp. 62-81.

All data are in the file data.jkls.txt, which is an ASCII file in DOS 
format. It is zipped in the file jkls-data.zip. Unix/Linux users should 
use "unzip -a"

The data set is an updated version of the data set constructed by 
Garratt, Lee, Pesaran, and Shin (2003), "A Long Run Structural 
Macroeconometric Model of the UK", Economic Journal, 113, 412-455. It 
includes quarterly data on the following macroeconomic time series from 
1965Q1 through 2008Q1:

q  - natural logarithm of UK real per capita domestic output
p  - natural logarithm of UK price level
dp - UK inflation rate
i  - UK nominal interest rate
hq - natural logarithm of real per capita money stock as a proportion of
     real per capita income
e  - natural logarithm of UK nominal effective exchange rate
q* - natural logarithm of foreign real per capita output
p* - natural logarithm of foreign price index
i* - foreign nominal interest rate
po - natural logarithm of oil price

See Appendix C for further information on how the series are constructed.