Nelson-Plosser (Nelson-Plosser US Macroeconomic Time Series)

US Macroeconomic dataset containing 14 time series of monthly observations. They have various lengths but all end in 1988. The variables: consumer price index, industrial production, nominal GNP, velocity, employment, interest rate, nominal wages, GNP deflator, money stock, real GNP, stock prices (S&P500), GNP per capita, real wages, unemployment.

The data is available in cleaned form in the R package 'tseries' [1]. First introduction contained data until 1970 [2].

Rerefences:

1. Trapletti, Adrian, and Kurt Hornik. 2020. tseries: Time Series Analysis and Computational Finance. https://cran.r-project.org/package=tseries.
2. Nelson, Charles R., and Charles I. Plosser. 1982. “Trends and Random Walks in Macroeconmic Time Series.” Journal of Monetary Economics 10 (2): 139–162. doi: 10.1016/0304-3932(82)90012-5.