Matei Demetrescu, Christoph Hanck and Robinson Kruse, "Robust Inference under Time-Varying Volatility: A Real-Time Evaluation of Professional Forecasters", Journal of Applied Econometrics, Vol. 37, No. 5, 2022, pp. 1010-1030. There are 12 data files in txt format gathered in a single zip-file "dhk-data.zip". All files are ASCII files in DOS format. They are zipped in the file ci-files.zip. Unix/Linux users should use "unzip -a". Variable definitions --------------------- RGDP: real GDP growth PGDP: GDP deflator inflation TMS: Term spread defined as the difference between long-term bond rates (''lty'') and short-term yields (''tbl''). PC: (Phillips curve) Unemployment rate The data files for RGDP and PGDP were obtained from the Survey of Professional Forecasters located at https://www.philadelphiafed.org/surveys-and-data/real-time-data-research/error-statistics. A few missing values for the variables RGDP and PGDP are imputed as described in Appendix G. Data on TMS were obtained from the website of Professor Amit Goyal: http://www.hec.unil.ch/agoyal/ In particular, the (updated) data file for his co-authored publication "A Comprehensive Look at the Empirical Performance of Equity Premium Prediction" (with Ivo Welch), July 2008, Review of Financial Studies 21(4) 1455-1508 is located at https://drive.google.com/file/d/1ACbhdnIy0VbCWgsnXkjcddiV8HF4feWv/view?usp=sharing [In the notation of Welch and Goyal (2008, p. 1459), the ten-year long-term government bond yield and the three-month Treasury bill secondary market rate are labeled as ''lty'' and ''tbl'', respectively.] Data on PC were obtained from the Real-Time Data Set for Macroeconomists located at https://www.philadelphiafed.org/surveys-and-data/real-time-data-research/real-time-data-set-for-macroeconomists Data files for SPF versus no-change forecasts: ---------------------------------------------- rgdp_cut_imp_nc.txt (RGDP) pgdp_cut_imp_nc.txt (PGDP) Files have eight columns. Columns are: SPF0 (SPF forecast at horizon 0) SPF1 (SPF forecast at horizon 1) SPF4 (SPF forecast at horizon 4) NC0 (no-change forecast at horizon 0) NC1 (no-change forecast at horizon 1) NC4 (no-change forecast at horizon 4) Realiz1 (first vintage) Realiz5 (final vintage) Files have 191 rows with observations from 1969Q4 to 2017Q2. Data files for SPF versus model-based forecasts: ------------------------------------------------ rgdp_cut_imp_tmsar.txt (RGDP TMS) - rolling window estimation using the term spread (TMS) rgdp_cut_imp_tmsar_rec.txt (RGDP TMS REC) - recursive estimation using the term spread (TMS) pgdp_cut_imp_pcar.txt (RGDP PC) - rolling window estimation using the Phillips curve (PC) pgdp_cut_imp_pcar_rec.txt (RGDP PC REC) - recursive estimation using the Phillips curve (PC) Files have the same structure as for the no-change forecasts (see above). Real-time vintage data for the model-based forecasts: ----------------------------------------------------- rgdp_trans_1953q4.txt (RGDP) tms_1953q4.txt (TMS) pgdp_trans_1953q4.txt (PGDP) unemp_agg_1953q4.txt (PC) Data on RGGP, PGDP and PC were obtained from: https://www.philadelphiafed.org/surveys-and-data/real-time-data-research/real-time-data-set-for-macroeconomists For TMS, see above. Further variables (see Appendix J) ---------------------------------- HOUSING: housing starts UNEMP: unemployment Data files for SPF versus no-change forecasts: housing_cut_imp_nc.txt (HOUSING) unemp_cut_imp_nc.txt (UNEMP) Files have the same structure as for the no-change forecasts for RGDP and PGDP (see above).