Dick van Dijk, Siem Jan Koopman, Michel van der Wel, and Jonathan
Wright, "Forecasting Interest Rates with Shifting Endpoints", Journal
of Applied Econometrics, Vol. 29, No. 5, 2014, pp. 693-712.

The data consist of three parts:

A) Yield data [file: UnsmFB_70-09.txt]
B) Blue Chip data
C) Real-time data [files: RLZcpi.txt and RLZip.txt]

The three data files are ASCII files in DOS format. They are zipped in
the file dkww-data.zip. Unix/Linux users should use "unzip -a".


A) Yield data [file: UnsmFB_70-09.txt]
-------------

This data set is for monthly time series of zero yields from the CRSP
unsmoothed Fama and Bliss (1987) forward rates (file: UnsmFB_70-09.txt). 
We refer to Diebold and Li (2006) for a detailed discussion of the method 
that is used for the creation of such a data set.

Our balanced panel data set consists of 17 maturities over the period
from January 1970 up to December 2009. We have $N=17$ yield series and
$n=480$ time series observations for each yield.

The maturities we analyse are 3, 6, 9, 12, 15, 18, 21, 24, 30, 36, 48,
60, 72, 84, 96, 108 and 120 months. These are displayed in the first
row. The dates are in the first column : YYYYMMDD.

Source:

The data are constructed from the CRSP Monthly Treasury Cross-Sectional 
File. The copyright for the raw data is with CRSP, the Center for 
Research in Security Prices.  Booth School of Business, The University 
of Chicago. Used with permission. All rights reserved.
www.crsp.chicagobooth.edu


B) Blue Chip data
-----------------

The Blue Chip data for long-range forecasts of the 30 year yield, 
inflation and GDP growth are available for purchase. They can be
bought at:
 
- Yield data:
http://www.aspenpublishers.com/product.asp?catalog_name=Aspen&product_id=9111142528

- Inflation and growth data:
http://www.aspenpublishers.com/product.asp?catalog_name=Aspen&product_id=9111142526

Because of the proprietary nature of these data, they are not made available.


C) Real-time data [files: RLZcpi.txt and RLZip.txt]
-----------------

The data sets are for real-time data for inflation (file: RLZcpi.txt) 
and growth (file: RLZip.txt). The inflation data are constructed from 
the Consumer Price Index. The growth data are constructed from the 
Industrial Production Index. For both variables, we take 100 times the
log first differences. In each vintage, we standardize the series to
have mean zero and variance 1.

Our real-time data set consists of 217 vintages from January 1992 up
to January 2010. For each vintage, we consider data from January 1984
up to December 2009. Because of taking first differences, January 1984
is always missing. For each vintage, data are only available up to the
month before that vintage. That is, for the January 1992 vintage, data
are available for January 1984 through December 1991, for the February
1992 vintage, data for January 1984 through January 1992 are
available, and so on.

The 217 vintage dates are displayed in the first row. The 312 dates in the 
sample are in the first column. Dates are displayed as: YYYYMM.

Source:

The data are constructed from the Federal Reserve Bank of Philadelphia 
Real-Time Data Set for Macroeconomists. The inflation data are constructed
from the series "Consumer Price Index, Monthly Vintages (PCPI)". The growth
data from the series "Industrial Production Index: Total (IPT)".

www.philadelphiafed.org/research-and-data/real-time-center/real-time-data/