Kirstin Hubrich and Kenneth D. West, "Forecast Evaluation of Small Nested Model Sets", Journal of Applied Econometrics, Vol. 25, No. 4, 2010, pp. 574-594. The data are provided in the file "Data_Hubrich_West.txt"; time series are organised in columns, the first column is the date column. This file is an ASCII file in DOS format, and it is zipped in hw-data-ascii.zip. Unix/Linux users should use "unzip -a". The data are also provided in an excel file "Data_Hubrich_West.xls". This file is zipped in hw-data-xls.zip. Sample Period: 1959(1) - 2004(12) Price Variables: Consumer Price Index- All urban consumers Source: US Department of Labor, Bureau of Labor Statistics cpi_all All items CPI Index Series ID : CUUR0000SA0 Not Seasonally Adjusted Area : U.S. city average Item : All items Base Period : 1982-84=100 cpi_e CPI Energy Price Index Series ID : CUUR0000SA0E Not Seasonally Adjusted Area : U.S. city average Item : Energy Base Period : 1982-84=100 cpi_c CPI Industrial Goods (Commodities excluded food excluded energy) Index Series ID : CUUR0000SACL1E Not Seasonally Adjusted Area : U.S. city average Item : Commodities less food and energy commodities Base Period : 1982-84=100 cpi_f CPI Food Index Series ID : CUUR0000SAF1 Not Seasonally Adjusted Area : U.S. city average Item : Food Base Period : 1982-84=100 cpi_s CPI Services less energy services Index Series ID : CUUR0000SASLE Not Seasonally Adjusted Area : U.S. city average Item : Services less energy services Base Period : 1982-84=100 Activity variables: y_ind US manufacturing index (SIC), seasonally adjusted Source: Federal Reserve Statistical Release (B00004) Base Period: average 2002 unemployment US unemployment, thousands of people Source: IFS The file hubrich-west-appendix.pdf contains and appendix.