Anne Sofie Jore, James Mitchell, and Shaun P. Vahey, "Combining Forecast
Densities from VARs with Uncertain Instabilities", Journal of Applied
Econometrics, Vol. 25, No. 4, 2010, pp. 621-634.

The data used are the same as in Clark, T. E. & McCracken, M. W. (2009), 
"Averaging forecasts from VARs with uncertain instabilities", Journal of
Applied Econometrics (forthcoming):

  http://www.econ.queensu.ca/jae/datasets/clark002/

The zip file jmv-ascii.zip contains the data files. They are ASCII files 
in DOS format. Unix/Linux users should use "unzip -a".

The file jmv-xls.zip contains corresponding Excel spreadsheets (same file
names but with extensions of .xls instead of .prn) with the same contents
and layout. 

**********
DATA FILES:  
**********

The following files contain the time series used in the article (all at 
the quarterly frequency), with rows corresponding to dates and columns 
to variables.

file               #obs    #var

routput.prn         235     161
poutput.prn         235     161
t-bill.prn          235     1

In all files, the date range is 1947:Q1 through 2005:Q3.  Not all data 
series are available over this range; missing values are denoted NA in 
the text file.

Sources: The real-time vintages of real GDP/GNP and the GDP/GNP 
deflator/price index were obtained from the Federal Reserve Bank of 
Philadelphia's Real-Time Data Set for Macroeconomists.  The T-Bill rates 
were obtained from the Board of Governor's FAME database.

routput.prn contains real-time vintages of real GNP/GDP, with each 
column containing a different vintage of GDP.  The vintages begin with 
1965:Q4 and end with 2005:Q4.

poutput.prn contains real-time vintages of the deflator or price index 
for GNP/GDP, with each column containing a different vintage of the 
price index. The vintages begin with 1965:Q4 and end with 2005:Q4.

t-bill.prn contains the 3-month T-bill rate (from 1947:Q1 through 2005:Q3).

Contact information: j.mitchell [AT] niesr.ac.uk