John M. Maheu and Stephen Gordon, "Learning, Forecasting and Structural 
Breaks", Journal of Applied Econometrics, Vol. 23, No. 5, 2008, pp. 
553-583.

The data are contained in teh file mg-data.zip, which contains five 
ASCII files in DOS format.

g.dat contains the date and quarterly real GDP growth rates. Real growth 
rates are expressed in percent and are constructed from U.S. seasonally 
adjusted GDP and the GDP price index. Data range from 1947:2 -- 2003:3 
(226 observations).

The next 4 files contain data for the Phillips curve example.

Quarterly inflation (infl) is the percent log-difference in the GDP 
price index.  Each file has the date, dependent variable (future 
inflation), inflation at time t-1, real GDP growth at time t-1, and 
unemployment at time t-1.

The following lists the data file and each column.

phillips3m.dat  (1948:2 -- 2003:3) 222 observations
date t, infl at t, infl at t-1, gdp growth at t-1, unemployment at t-1

phillips6m.dat  (1948:2 -- 2003:2) 221 observations
date t, infl at t+1, infl at t-1, gdp growth at t-1, unemployment at t-1

phillips9m.dat  (1948:2 -- 2003:1) 220 observations
date t, infl at t+2, infl at t-1, gdp growth at t-1, unemployment at t-1

phillips12m.dat (1948:2 -- 2002:4) 219 observations
date t, infl at t+3, infl at t-1, gdp growth at t-1, unemployment at t-1

All data were obtained from the Federal Reserve Bank of St. Louis FRED
database.