Michael P. Clements and Ana Beatriz Galvao, "Density Forecasting with BVAR Models under Macroeconomic Data Uncertainty", Journal of Applied Econometrics, forthcoming. The data employed in the paper consists of eight excel files, one for each variable considered in the paper. They are used in VAR models of four variables: output growth, inflation, unemployment rate, and the short-term interest rate. There are two VAR models: one for US data and another for UK data. Data sources are described in section 2.3 of the paper. The separate xlsx files are combined in the file cg-data.zip. US Dataset: 1. Real-time data on real GDP: r_output_v3.xlsx These data are from the real-time dataset of the Philadelphia Fed, and the file includes observations from 1959:Q1 and vintages from 1965Q4 to 2019Q4. 2. Real-time data on the GDP deflator: p_gdp_v3.xlxs. These data are from the real-time dataset of the Philadelphia Fed, and the file includes observations from 1959:Q1 and vintages from 1965Q4 to 2019Q4. 3. Real-time data on unemployment: unemp_r2.xlxs These data are from the real-time dataset of the Philadelphia Fed, and the file includes monthly observations from 1959:M1 and vintages from 1965Q4 to 2019Q4. Data are converted to quarterly frequency using the average over quarter. Data revisions to unemployment are sparse and small so they are not modelled within the KK approach. 4. Data on the three-month Treasury Bill: TB3MS_r2.xlsx Quarterly observations from 1959:Q1 to 2019:Q2 for the 3-month treasury bill obtained for the St Louis Fed Fred database. UK Dataset: 1. Real-time data on real GDP: rt_realGDPUK.xlsx These data are obtained from the ONS real-time database. Quarterly observations from 1970Q1 and monthly vintages from Feb-90 up to Jan-20. Monthly vintages are converted to quarterly using always the vintage that includes the first release. 2. Real-time data on nominal GDP: rt_nominalGDPUK.xlsx These data are obtained from the ONS real-time database. Quarterly observations from 1970Q1 and monthly vintages from Feb-90 up to Jan-20. Monthly vintages are converted to quarterly using always the vintage that includes the first release. We compute the real-time data on the GDP implicit deflator as nominal GDP/real GDP for each vintage/observation. 3. Unemployment: UK_unemp.xlsx Quarterly observations from 1983Q1 were obtained from the St Louis Fed Fred database. 4. 3-month interbank rate: uk_3monthrate: uk_3monthrate.xlxs. Quarterly observations from 1986Q1 were obtained from the St Louis Fed Fred database.