This is the dataset used in Groen et al. (2013) and is downloadable from http://www.tandfonline.com/doi/suppl/10.1080/07350015.2012.727718.
The variables are:
GDPDEF : Quarterly log changes in the Gross Domestic Product implicit price deflator.
ROUTP : Real GDP in volume terms.
RCONS : Real durable personal consumption expenditures in volume terms
RINVR : Real residential investment in volume terms
PIMP : Import deflator
UNEMP : Unemployment ratio
NFPR : Non-farm payrolls data on employment
HSTS : Housing starts
OIL : Real spot price of oil
FOOD : Real food commodities price index
RAW : Real raw material commodities price index
M2 : The M2 monetary aggregate
YL : The level factor
TS : The slope factor
CS : Curvature factor
MS : One-year ahead inflation expectations that come from the Reuters/Michigan Survey of Consumers.
A xts object containing 206x16 observations from from 1960-01-01 to 2011-04-01.
Groen, Jan JJ, Richard Paap, and Francesco Ravazzolo. (2013) Real–time inflation forecasting in a changing world. Journal of Business & Economic Statistics, 31.1 : 29–44.
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