Richard Kleijn and Herman K. van Dijk, "Bayes Model Averaging of
Cyclical Decompositions in Economic Time Series", Journal of Applied
Econometrics, Vol. 21, No. 2, 2006, pp. 191-212.

The data used in the above paper is provided in two plain ASCII text
files in DOS format. These are zipped in the file kvd-data.zip. Unix users
should use "unzip -a".

The file kvd-ip.txt contains the US industrial production data. It
consists of monthly year-on-year growth rates from 1960:01 to 2003:10
(T=526). The series was calculated as the 12th difference of the
logarithm of the 'Total Industrial Production Index' which was obtained
from Economagic.

The file kvd-ue.txt contains US unemployment data. It is the monthly
unemployment rate from 1959:01 to 1997:11 (T=467).