US data:
Sheet 20404U Qtr in Section2All_xls.xls
from https://www.bea.gov//national/nipaweb/nipa_underlying/DownSS2.asp
or from the home page, choose national, choose interactive tables, choose begin using the data, click on go directly to our Advanced Download Section.

US CPI data:
from https://www.bls.gov/
choose datatools, go to "All Urban Consumers (Current Series) (Consumer Price Index - CPI) ", click "multi-screen data search". Tick "seasonal adjusted", select "0000 city average", tick current base, multiple select all the items, tick monthly, click retrieve data. Go to more formatting options, choose multi-series table, choose from 1959, choose output type as text, and click retrieve data. Save the data.

EU data:
from http://ec.europa.eu/eurostat/en/
choose database, choose economy and finance, choose prices, choose hamonised index of consumer prices (HICP)(prc_hicp), choose  "HICP (2015 = 100) - monthly data (index) (prc_hicp_midx)". In the database, click the "+" button and choose all-items, all-time and European Union. Also change layout etc. and then download.