This is the dataset used in Groen et al. (2013) and is downloadable from http://www.tandfonline.com/doi/suppl/10.1080/07350015.2012.727718. The variables are:
GDPDEF : Quarterly log changes in the Gross Domestic Product implicit price deflator. ROUTP : Real GDP in volume terms. RCONS : Real durable personal consumption expenditures in volume terms RINVR : Real residential investment in volume terms PIMP : Import deflator UNEMP : Unemployment ratio NFPR : Non-farm payrolls data on employment HSTS : Housing starts OIL : Real spot price of oil FOOD : Real food commodities price index RAW : Real raw material commodities price index M2 : The M2 monetary aggregate YL : The level factor TS : The slope factor CS : Curvature factor MS : One-year ahead inflation expectations that come from the Reuters/Michigan Survey of Consumers.
data(USData)A xts object containing 206x16 observations from from 1960-01-01 to 2011-04-01.
Groen, Jan JJ, Richard Paap, and Francesco Ravazzolo. (2013) Real--time inflation forecasting in a changing world. Journal of Business & Economic Statistics, 31.1 : 29--44.