The R package fpp2 contains all data sets required for the examples and exercises in the book "Forecasting: principles and practice" by Rob J Hyndman and George Athanasopoulos (http://OTexts.org/fpp2/). All packages required to run the examples are also loaded.
You can install the stable version on R CRAN.
install.packages('fpp2', dependencies = TRUE)
You can install the development version from Github
# install.packages("devtools") devtools::install_github("robjhyndman/fpp2-package")
This package is free and open source software, licensed under GPL (>= 3).