George Kapetanios and Tony Yates, "Estimating Time-Variation in Measurement
Error from Data Revisions: An Application to Forecasting in Dynamic Models",
Journal of Applied Econometrics, Vol. 25, No. 5, 2010, pp. 869-893.

The data relate to five UK National Accounts variables: GDP, Consumption,
Investment, Exports and Imports. They contain data from June 1980 to
December 2009 and vintages from January 1983 to April 2009. They have been
taken from the custom made Real-Time Database of the Bank of England which
should be acknowledged when the data are used.

There are two formats: (1) .xls file per variables which contains the data
in two worksheets and (2) .txt (ASCII) files per variables which contain the
same data as each worksheet in the .xls file. The end of the first file is
the March 2004 release for each variable.

The five .xls files are:

  consumption.xls
  export.xls
  gdp.xls
  import.xls
  investment.xls

These files are zipped in excel-files.zip.

The ten .txt files are all ASCII files in DOS format:

  consumption.txt
  consumption_2.txt
  export.txt
  export_2.txt
  gdp.txt
  gdp_2.txt
  import.txt
  import_2.txt
  investment.txt
  investment_2.txt
  
These files are zipped in text-files.zip. Unix/Linux users should use
"unzip -a".