Joshua Chan and Eric Eisenstat, "Bayesian Model Comparison for
Time-Varying Parameter VARs with Stochastic Volatility", Journal of
Applied Econometrics, Vol. 33, No. 4, 2018, pp. 509-532.
The sample period is from 1954Q3 to 2014Q4. The second to fourth
columns are respectively the log difference of GDP deflator, the
unemployment rate, the log difference of real GDP, and the Federal
Funds rate.
The data are in an Excel spreadsheet, saved as USdata_2014Q4.xlsx, and
also in a CSV file, saved as USdata_2014Q4.csv. Both files are zipped
in the file ce-data2.zip.