Christian Zimmermann, International Real Business Cycles among Heterogeneous Countries, working paper no. 38, Research Center on Employment and Economic Fluctuations, Université du Québec à Montréal, May 1995. Appeared in the European Economic Review, 1997, pages 319-356.
If you are using this data, please use the above reference and give me a copy of your work.
Much of this data is from David Backus, which he used for his article with Patrick Kehoe and Finn Kydland in the Journal of Political Economy (1992) and the American Economic Review (1994). Unless you want to replicate their results, or mine in the above paper, I would not recommend using this dataset. Better data is available at other places on this site, or elsewhere.
For this reason I did not bother describing further the data. All data is put together in a MicroTSP worksheet (also readable with EViews). To get all the raw data (seasonnaly adjusted if necessary), you need to retrieve this [1kB] and this [47kB]. For the cyclical components, take this [1kB] and this [47kB]. For the HP-filter, see here.