Arnaud Dufays, Zhuo Li, Jeroen Rombouts, and Yong Song, "Sparse
Change-point VAR Models", Journal of Applied Econometrics, Vol. 36,
No. 6, 2021, pp. 703-727.

There are two files, which contain two data sets:

- CRSP_DATA_20191231.csv
- FRED_MD_202005.csv

They are combined in the file dlrs-data.zip

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The data used for the "Excess return modelling" is constructed by the
Center for Research in Security Prices (CRSP) and is accessed via the
Wharton Research Data Services (WRDS)

There are 4 monthly variables (1926-12 to 2019-12) in the file
CRSP_DATA_20191231.csv 

-- Risk Free Rate: continuously compounded 1-month treasury bill rate
-- Dividend Yield: continuously compounded CRSP income return  
-- Market return: continuously compounded CRSP total market return
-- Excess Return: difference of Market return and Risk Free Rate

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The data used for the "Macroeconomic application" are parts of
McCracken and Ng (2016)'s FRED-MD dataset, which can be downloaded
from:

https://research.stlouisfed.org/econ/mccracken/fred-databases/

The 19 selected monthly variables (1959-02 to 2020-05) are available in 
FRED_MD_202005.csv

-- RPI: real personal income (log difference)
-- DPCERA3M086SBEA: Real PCE (log difference)
-- CMRMTSPLx: Real manufacturing and trade sales (log difference)
-- INDPRO: Industrial production (log difference)
-- CUMFNS: Capacity utilization in manufacturing 
-- UNRATE: Civilian unemployment rate
-- PAYEMS: Total nonfarm employment (log difference)
-- CES0600000007: Hours worked: goods-producing (log)
-- CES0600000008: Average hourly earnings: goods-producing (log difference)
-- WPSFD49207: PPI for finished goods (log difference)
-- PPICMM: PPI for commodities (log difference)
-- PCEPI: PCE price index (log difference)
-- FEDFUNDS: Federal funds rate
-- HOUST: Total housing starts (log)
-- SP500: S&P 500 price index (log difference)	
-- EXUSUKx: U.S.-U.K. exchange rate (log difference)
-- T1YFFM: 1 yr. Treasury-FEDFUNDS spread
-- T10YFFM: 10 yr. Treasury-FEDFUNDS spread
-- BAAFFM: BAA-FEDFUNDS spread

Some variables are transformed as indicated in the parentheses
following the recommendations of Carriero, Clark and Marcellino
(2019).


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References:

Carriero, A., T. E. Clark, and M. Marcellino (2019): Large Bayesian
vector autoregressions with stochastic volatility and non-conjugate
priors. Journal of Econometrics, 212(1), 137-154.

McCracken, M. and Ng, S. (2016). FRED-MD: A monthly database for
macroeconomic research. Journal of Business and Economic Statistics,
34, 574-589.