The excel files provide the national and state-level monthly "weather indices" (temperature and snowfall) that we construct from underlying NOAA data for each month since 1950.
As described in the papers, the index is essentially an average (across days in the month) of the average (across weather stations in the state) of the deviation of temperature (resp. snowfall) from its "normal" for this station and month. For the national index, there is a further averaging across states, in proportion to their employment.
The index is normalized to have mean 0 and standard deviation 1 during the winter (December through March), but is not normalized in the other months (which are not used for our exercise).
Feel free to use these data, and cite the source as: data constructed by Gourio and Bloesch in research conducted at the Federal Reserve Bank of Chicago, based on NOAA data. Also feel free to contact us with questions, suggestions or comments.