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I'm trying to unit test a script for hierarchical time series forecasting, and I was wondering whether there is a public data set that can be used as a good example of hierarchical/grouped time series?

By "good example", I mean one where there is some correlation and interaction between the individual time series that we can group, but that still each have their own individual series-specific characteristics.

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I recommend you to check out the hts R package that includes regional infant mortality counts in Australia. Also, the thief R package includes accident and emergency demand in the UK.

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Hyndman et al. often use tourism data (hierarchy is Australian states or regions) or unemployment data (hierarchy is the classical hierarchy of occupations), both of which should be available from statistical offices like the BLS or Eurostat.

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