Patrick Schmidt, Matthias Katzfuss, and Tilmann Gneiting, "Interpretation
of Point Forecasts with Unknown Directive," Journal of Applied
Econometrics, Vol. 36, No. 6, 2021, pp. 728-743.

Two data sets are used in this paper. Please refer to the R-Package
PointFore on CRAN or Github for convenient access. Files for data
analysis can be found in the vignettes of the R-Package.

--- List of files ---

The zip file Pointfore-R-project.zip contains the entire package code,
including data, functions, and applications (but not the simulations).
The remaining files below were extracted for the data archiv.

The zip file skg-files.zip contains the following files:

-- gdp_from_package.csv: ready to use gdp data from R-Package
   PointFore

-- precipitation_from_package.csv: ready to use precipiation data from
   R-Package PointFore

-- GDP.R: An R-file used to create the gdp data from raw data

-- precipitation.R: An R-file used to create the precipiation data
   from raw data

-- GBweb_Row_Format.xls: Raw data from
https://www.philadelphiafed.org/research-and-data/real-time-center/greenbook-data/philadelphia-data-set

-- routput_first_second_third_all.xlsx: Raw data from
https://www.philadelphiafed.org/research-and-data/real-time-center/greenbook-data/philadelphia-data-set

-- precipitation data.Rdata: Raw data provided by ECMWF.


--- Data Description: Precipitation ---

Daily accumulated precipitation (in millimeter) at London, UK and
24-hours-ahead forecasts of the ECMWF (1969-2011)

24-hour ahead forecasts of daily accumulated precipitation at London,
UK from the high-resolution model of the European Centre for
Medium-Range Weather Forecasts (ECMWF). The data contains observations
from 2012 to 2016.

A data frame with 2192 rows and 2 variables:

Y: daily accumulated precipitation in millimeter at London, UK (0 – 45)

X: according point forecast in millimeter issued one day ahead (0 – 40)

We thank the ECMWF for their support. Further details can be found on
https://www.ecmwf.int/.


--- Data Description: GDP ---

Real GDP realized values and one quarter ahead Greenbook forecasts
(1969-2012)

A dataset containing real GDP growth rate in the United States and
according one quarter ahead point forecasts from Federal Reserve's
Greenbook. The forecasts were selected to be closest to the middle of
the respective quarter among the published Greenbook forecasts of one
quarter. The forecasts issued latest in the respective quarter are
also given under forecast_late.

A data frame with 176 rows and 2 variables:

observation: realized GDP growth rate in percentage measured at first
vintage (-10.4 – 11.2)

observation_second: realized GDP growth rate in percentage measured at
second vintage (-11.3 – 13.2)

observation_recent: realized GDP growth rate in percentage measured at
most recent vintage (-8.2 – 16.5)

forecast: according point forecast issued one quarter before (-4.7 –
8.5)

forecast_late: according point forecast issued latest in the quarter
before (-4.7 – 7.9)

Source:
https://www.philadelphiafed.org/research-and-data/real-time-center/greenbook-data/philadelphia-data-set