Marta Banbura, Domenico Giannone, and Lucrezia Reichlin, "Large Bayesian VARs", Journal of Applied Econometrics, Vol. 25, No. 1, 2010, pp. 71-92. We use the dataset of Stock and Watson (2005). The data are monthly, starting in Jan 1960 and ending in December 2003 (528 observations). All the variables (131 series) are stored in bgrdata.txt (tab delimited), bgrdata.csv, or bgrdata.xls. The files bgrdata.txt and bgrdata.csv are zipped in the file bgr-data.zip. The file bgrdata.xls is zipped in the file bgr-xls.zip. Unix/Linux users should use "unzip -a" for bgr-data.zip. The variables are stored as columns. Here is the list of the series: 1 A0M052 Personal income (AR, bil. chain 2000 $) 2 A0M051 Personal income less transfer payments (AR, bil. chain 2000 $) 3 A0M224_R Real Consumption (AC) A0m224/gmdc 4 A0M057 Manufacturing and trade sales (mil. Chain 1996 $) 5 A0M059 Sales of retail stores (mil. Chain 2000 $) 6 IPS10 INDUSTRIAL PRODUCTION INDEX - TOTAL INDEX 7 IPS11 INDUSTRIAL PRODUCTION INDEX - PRODUCTS, TOTAL 8 IPS299 INDUSTRIAL PRODUCTION INDEX - FINAL PRODUCTS 9 IPS12 INDUSTRIAL PRODUCTION INDEX - CONSUMER GOODS 10 IPS13 INDUSTRIAL PRODUCTION INDEX - DURABLE CONSUMER GOODS 11 IPS18 INDUSTRIAL PRODUCTION INDEX - NONDURABLE CONSUMER GOODS 12 IPS25 INDUSTRIAL PRODUCTION INDEX - BUSINESS EQUIPMENT 13 IPS32 INDUSTRIAL PRODUCTION INDEX - MATERIALS 14 IPS34 INDUSTRIAL PRODUCTION INDEX - DURABLE GOODS MATERIALS 15 IPS38 INDUSTRIAL PRODUCTION INDEX - NONDURABLE GOODS MATERIALS 16 IPS43 INDUSTRIAL PRODUCTION INDEX - MANUFACTURING (SIC) 17 IPS307 INDUSTRIAL PRODUCTION INDEX - RESIDENTIAL UTILITIES 18 IPS306 INDUSTRIAL PRODUCTION INDEX - FUELS 19 PMP NAPM PRODUCTION INDEX (PERCENT) 20 A0M082 Capacity Utilization (Mfg) 21 LHEL INDEX OF HELP-WANTED ADVERTISING IN NEWSPAPERS (1967=100;SA) 22 LHELX EMPLOYMENT: RATIO; HELP-WANTED ADS:NO. UNEMPLOYED CLF 23 LHEM CIVILIAN LABOR FORCE: EMPLOYED, TOTAL (THOUS.,SA) 24 LHNAG CIVILIAN LABOR FORCE: EMPLOYED, NONAGRIC.INDUSTRIES (THOUS.,SA) 25 LHUR UNEMPLOYMENT RATE: ALL WORKERS, 16 YEARS & OVER (%,SA) 26 LHU680 UNEMPLOY. BY DURATION: AVERAGE(MEAN)DURATION IN WEEKS (SA) 27 LHU5 UNEMPLOY. BY DURATION: PERSONS UNEMPL.LESS THAN 5 WKS (THOUS.,SA) 28 LHU14 UNEMPLOY. BY DURATION: PERSONS UNEMPL.5 TO 14 WKS (THOUS.,SA) 29 LHU15 UNEMPLOY. BY DURATION: PERSONS UNEMPL.15 WKS + (THOUS.,SA) 30 LHU26 UNEMPLOY. BY DURATION: PERSONS UNEMPL.15 TO 26 WKS (THOUS.,SA) 31 LHU27 UNEMPLOY. BY DURATION: PERSONS UNEMPL.27 WKS + (THOUS,SA) 32 A0M005 Average weekly initial claims, unemploy. insurance (thous.) 33 CES002 EMPLOYEES ON NONFARM PAYROLLS - TOTAL PRIVATE 34 CES003 EMPLOYEES ON NONFARM PAYROLLS - GOODS-PRODUCING 35 CES006 EMPLOYEES ON NONFARM PAYROLLS - MINING 36 CES011 EMPLOYEES ON NONFARM PAYROLLS - CONSTRUCTION 37 CES015 EMPLOYEES ON NONFARM PAYROLLS - MANUFACTURING 38 CES017 EMPLOYEES ON NONFARM PAYROLLS - DURABLE GOODS 39 CES033 EMPLOYEES ON NONFARM PAYROLLS - NONDURABLE GOODS 40 CES046 EMPLOYEES ON NONFARM PAYROLLS - SERVICE-PROVIDING 41 CES048 EMPLOYEES ON NONFARM PAYROLLS - TRADE, TRANSPORTATION, AND UTILITIES 42 CES049 EMPLOYEES ON NONFARM PAYROLLS - WHOLESALE TRADE 43 CES053 EMPLOYEES ON NONFARM PAYROLLS - RETAIL TRADE 44 CES088 EMPLOYEES ON NONFARM PAYROLLS - FINANCIAL ACTIVITIES 45 CES140 EMPLOYEES ON NONFARM PAYROLLS - GOVERNMENT 46 A0M048 Employee hours in nonag. establishments (AR, bil. hours) 47 CES151 AVERAGE WEEKLY HOURS OF PRODUCTION OR NONSUPERVISORY WORKERS ON PRIVATE NONFARM, GOODS-PRODUCING 48 CES155 AVERAGE WEEKLY HOURS OF PRODUCTION OR NONSUPERVISORY WORKERS ON PRIVATE NONFARM, MANUFACTURING 49 AOM001 Average weekly hours, mfg. (hours) 50 PMEMP NAPM EMPLOYMENT INDEX (PERCENT) 51 HSFR HOUSING STARTS:NONFARM(1947-58);TOTAL FARM&NONFARM(1959-) (THOUSANDS,SA) 52 HSNE HOUSING STARTS:NORTHEAST (THOUS.U.)S.A. 53 HSMW HOUSING STARTS:MIDWEST(THOUS.U.)S.A. 54 HSSOU HOUSING STARTS:SOUTH (THOUS.U.)S.A. 55 HSWST HOUSING STARTS:WEST (THOUS.U.)S.A. 56 HSBR HOUSING AUTHORIZED: TOTAL NEW PRIV HOUSING UNITS (THOUS.,SAAR) 57 HSBNE HOUSES AUTHORIZED BY BUILD. PERMITS:NORTHEAST(THOU.U.)S.A 58 HSBMW HOUSES AUTHORIZED BY BUILD. PERMITS:MIDWEST(THOU.U.)S.A. 59 HSBSOU HOUSES AUTHORIZED BY BUILD. PERMITS:SOUTH(THOU.U.)S.A. 60 HSBWST HOUSES AUTHORIZED BY BUILD. PERMITS:WEST(THOU.U.)S.A. 61 PMI PURCHASING MANAGERS' INDEX (SA) 62 PMNO NAPM NEW ORDERS INDEX (PERCENT) 63 PMDEL NAPM VENDOR DELIVERIES INDEX (PERCENT) 64 PMNV NAPM INVENTORIES INDEX (PERCENT) 65 A0M008 Mfrs' new orders, consumer goods and materials (bil. chain 1982 $) 66 A0M007 Mfrs' new orders, durable goods industries (bil. chain 2000 $) 67 A0M027 Mfrs' new orders, nondefense capital goods (mil. chain 1982 $) 68 A1M092 Mfrs' unfilled orders, durable goods indus. (bil. chain 2000 $) 69 A0M070 Manufacturing and trade inventories (bil. chain 2000 $) 70 A0M077 Ratio, mfg. and trade inventories to sales (based on chain 2000 $) 71 FM1 MONEY STOCK: M1(CURR,TRAV.CKS,DEM DEP,OTHER CK'ABLE DEP)(BIL$,SA) 72 FM2 MONEY STOCK:M2(M1+O'NITE RPS,EURO$,G/P&B/D MMMFS&SAV&SM TIME DEP (BIL$,SA) 73 FM3 MONEY STOCK: M3(M2+LG TIME DEP,TERM RP'S&INST ONLY MMMFS) (BIL$,SA) 74 FM2DQ MONEY SUPPLY - M2 IN 1996 DOLLARS (BCI) 75 FMFBA MONETARY BASE, ADJ FOR RESERVE REQUIREMENT CHANGES(MIL$,SA) 76 FMRRA DEPOSITORY INST RESERVES:TOTAL,ADJ FOR RESERVE REQ CHGS(MIL$,SA) 77 FMRNBA DEPOSITORY INST RESERVES:NONBORROWED,ADJ RES REQ CHGS(MIL$,SA) 78 FCLNQ COMMERCIAL & INDUSTRIAL LOANS OUSTANDING IN 1996 DOLLARS (BCI) 79 FCLBMC WKLY RP LG COM'L BANKS:NET CHANGE COM'L & INDUS LOANS(BIL$,SAAR) 80 CCINRV CONSUMER CREDIT OUTSTANDING - NONREVOLVING(G19) 81 A0M095 Ratio, consumer installment credit to personal income (pct.) 82 FSPCOM S&P'S COMMON STOCK PRICE INDEX: COMPOSITE (1941-43=10) 83 FSPIN S&P'S COMMON STOCK PRICE INDEX: INDUSTRIALS (1941-43=10) 84 FSDXP S&P'S COMPOSITE COMMON STOCK: DIVIDEND YIELD (% PER ANNUM) 85 FSPXE S&P'S COMPOSITE COMMON STOCK: PRICE-EARNINGS RATIO (%,NSA) 86 FYFF INTEREST RATE: FEDERAL FUNDS (EFFECTIVE) (% PER ANNUM,NSA) 87 CP90 Commercial Paper Rate (AC) 88 FYGM3 INTEREST RATE: U.S.TREASURY BILLS,SEC MKT,3-MO.(% PER ANN,NSA) 89 FYGM6 INTEREST RATE: U.S.TREASURY BILLS,SEC MKT,6-MO.(% PER ANN,NSA) 90 FYGT1 INTEREST RATE: U.S.TREASURY CONST MATURITIES,1-YR.(% PER ANN,NSA) 91 FYGT5 INTEREST RATE: U.S.TREASURY CONST MATURITIES,5-YR.(% PER ANN,NSA) 92 FYGT10 INTEREST RATE: U.S.TREASURY CONST MATURITIES,10-YR.(% PER ANN,NSA) 93 FYAAAC BOND YIELD: MOODY'S AAA CORPORATE (% PER ANNUM) 94 FYBAAC BOND YIELD: MOODY'S BAA CORPORATE (% PER ANNUM) 95 SCP90 CP90 - FYFF 96 SFYGM3 FYGM3 - FYFF 97 SFYGM6 FYGM6 - FYFF 98 SFYGT1 FYGT1 - FYFF 99 SFYGT5 FYGT5 - FYFF 100 SFYGT10 FYGT10 - FYFF 101 SFYAAAC FYAAAC - FYFF 102 SFYBAAC FYBAAC - FYFF 103 EXRUS UNITED STATES;EFFECTIVE EXCHANGE RATE(MERM)(INDEX NO.) 104 EXRSW FOREIGN EXCHANGE RATE: SWITZERLAND (SWISS FRANC PER U.S.$) 105 EXRJAN FOREIGN EXCHANGE RATE: JAPAN (YEN PER U.S.$) 106 EXRUK FOREIGN EXCHANGE RATE: UNITED KINGDOM (CENTS PER POUND) 107 EXRCAN FOREIGN EXCHANGE RATE: CANADA (CANADIAN $ PER U.S.$) 108 PWFSA PRODUCER PRICE INDEX: FINISHED GOODS (82=100,SA) 109 PWFCSA PRODUCER PRICE INDEX:FINISHED CONSUMER GOODS (82=100,SA) 110 PWIMSA PRODUCER PRICE INDEX:INTERMED MAT.SUPPLIES & COMPONENTS (82=100,SA) 111 PWCMSA PRODUCER PRICE INDEX:CRUDE MATERIALS (82=100,SA) 112 PSM99Q INDEX OF SENSITIVE MATERIALS PRICES (1990=100)(BCI-99A) 113 PMCP NAPM COMMODITY PRICES INDEX (PERCENT) 114 PUNEW CPI-U: ALL ITEMS (82-84=100,SA) 115 PU83 CPI-U: APPAREL & UPKEEP (82-84=100,SA) 116 PU84 CPI-U: TRANSPORTATION (82-84=100,SA) 117 PU85 CPI-U: MEDICAL CARE (82-84=100,SA) 118 PUC CPI-U: COMMODITIES (82-84=100,SA) 119 PUCD CPI-U: DURABLES (82-84=100,SA) 120 PUS CPI-U: SERVICES (82-84=100,SA) 121 PUXF CPI-U: ALL ITEMS LESS FOOD (82-84=100,SA) 122 PUXHS CPI-U: ALL ITEMS LESS SHELTER (82-84=100,SA) 123 PUXM CPI-U: ALL ITEMS LESS MIDICAL CARE (82-84=100,SA) 124 GMDC PCE,IMPL PR DEFL:PCE (1987=100) 125 GMDCD PCE,IMPL PR DEFL:PCE; DURABLES (1987=100) 126 GMDCN PCE,IMPL PR DEFL:PCE; NONDURABLES (1996=100) 127 GMDCS PCE,IMPL PR DEFL:PCE; SERVICES (1987=100) 128 CES275 AVERAGE HOURLY EARNINGS OF PRODUCTION OR NONSUPERVISORY WORKERS ON PRIVATE NONFARM, GOOD-PRODUCING 129 CES277 AVERAGE HOURLY EARNINGS OF PRODUCTION OR NONSUPERVISORY WORKERS ON PRIVATE NONFARM, CONSTRUCTION 130 CES278 AVERAGE HOURLY EARNINGS OF PRODUCTION OR NONSUPERVISORY WORKERS ON PRIVATE NONFARM, MANUFACTURING 131 HHSNTN U. OF MICH. INDEX OF CONSUMER EXPECTATIONS(BCD-83) This directory also contains an annex, BGR-annex.pdf.