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NBER's Macro-Historical Database

This database comes from the National Bureau of Economic Research's early history. To quote from its introduction: "During the first several decades of its existence, the National Bureau of Economic Research (NBER) assembled an extensive data set that covers all aspects of the pre-WWI and interwar economies, including production, construction, employment, money, prices, asset market transactions, foreign trade, and government activity. Many series are highly disaggregated, and many exist at the monthly or quarterly frequency. The data set has some coverage of the United Kingdom, France and Germany, although it predominantly covers the United States." In all, more than 3,500 series are available. More details can be found in "Improving the Accessibility of the NBER's Historical Data, Daniel Feenberg and Jeff Miron, Journal of Business and Economic Statistics, vol. 15 no. 3, July 1997, pp. 293-299 (also NBER Working Paper no. 5186). More detailed paper documentation is available from the NBER, and an on-line "analytical index" is available as well.   Data is arranged in 16 chapters; they are   Production of Commodities Construction Transportation and Public Utilities Prices Stocks of Commodities Distribution of Commodities Foreign Trade Income and Employment Financial Status of Business Savings and Investment Security Markets Volume of Transactions Interest Rates Money and Banking Government and Finance Leading Indicators   Data are offered in Micro-TSP.db format (which is pure ASCII) and is supported directly by RATS, TSP, EViews, and other packages.    

http://www.nber.org/databases/macrohistory/contents/index.html