Xiaoqing Zhou, "Refining the Workhorse Oil Market Model", Journal of
Applied Econometrics, Vol. 35, No. 1, 2020, pp. 130-140.

The data are monthly. Each dataset includes the growth rate of global
oil production, the measure of global business cycle, the log of real
price of oil, and the change in global crude oil inventories, in that
order. The datasets are arranged in column format with rows
corresponding to months and columns corresponding to variables. 

dataset1.txt: 1973m2-2009m8 original data with corrected Kilian index
of global economic avtivity

dataset2.txt: 1973m2-2018m6 extended data with corrected Kilian index
of global economic avtivity

dataset3.txt: 1973m2-2018m6 extended data with log-linearly detrended
OECD+6 industrial production

Data sources:

The corrected Kilian index of global economic activity was made
available by Lutz Kilian.

The OECD+6 industrial production is available on James Hamilton's
website.

The other data were constructed as described as in:

  Lutz Kilian and Daniel P Murphy, "The Role of Oil Inventories and
  Speculative Trading in the Global Market for Crude Oil", Journal of
  Applied Econometrics, Vol. 29. No. 3, 2014, pp. 454-478. 

See http://qed.econ.queensu.ca/jae/datasets/kilian003/ .