Jonathan H. Wright, "Evaluating Real-Time VAR Forecasts with an Informative Democratic Prior", Journal of Applied Econometrics, Vol. 28, No. 5, 2013, pp. 762-776. The dataset consists of real-time data on ten quarterly macroeconomic time series. The series are all real-time vintage data and are recorded in text files where the columns denote data vintages and the rows denote observations. The text files are as follows: cpi.txt CPI inflation hstarts.txt Housing starts ip.txt Industrial production growth nonres.txt Nonresidential fixed investment notes.txt Ten-year Treasury yields pce.txt Growth in real personal consumption expenditures pgdp.txt GDP deflator inflation rgdp.txt Real GDP growth tbill.txt Three-month Treasury bill yields unemp.txt Unemployment rate Note that for the Treasury yields, the data are not in fact subject to revision, but it is more convenient to keep all the series in the same format. The 10 data files are ASCII files in DOS format. They are zipped in the file jhw-data.zip. Unix/Linux users should use "unzip -a". The paper also uses Blue Chip survey data (Blue Chip Economic Indicators: Archive from 1976+). These data are not in the public domain but are available for purchase from Aspen Publishers either online: http://www.aspenpublishers.com/product.asp?catalog_name=Aspen&product_id=9111142525 or by calling (301) 644 3599.