Gary Koop, "Forecasting with Medium and Large Bayesian VARs",
Journal of Applied Econometrics, Vol. 28, No. 2, 2013, pp. 177-203.

As described in the paper, the data were provided by Mark Watson. The
dataset is an updated version of the dataset which contains a large number
of US macroeconomic variables that is used in several papers by Stock and
Watson, such as 

J. Stock and M. Watson (2008), "Forecasting in dynamic factor models subject
to structural instability", in The Methodology and Practice of Econometrics,
A Festschrift in Honour of Professor David F. Hendry, edited by J. Castle
and N. Shephard, Oxford: Oxford University Press.

All data are in the spreadsheet es09_1.xls, which is zipped in the file
gk-spreadsheet.zip. The same data may also be found in the two CSV files
es09_1a.csv and es09_1b.csv, which are zipped in the file gk-csv.zip. These
are ASCII files in DOS format.

The Data Appendix to the paper and the spreadsheet contain explanatory
material. The transformation codes (tcodes) used are listed on the
spreadsheet and also defined in the Data Appendix in the paper.

The computer codes are modified versions of publicly available code on the
website: "MATLAB Code for Bayesian Inference in VARs, TVP-VARs and
TVP-FAVARs" at

http://personal.strath.ac.uk/gary.koop/bayes_matlab_code_by_koop_and_korobilis.html