Chang-Jin Kim, James Morley, and Jeremy Piger, "Bayesian Counterfactual
Analysis of the Sources of the Great Moderation", Journal of Applied
Econometrics, Vol. 23, No. 2, 2008, pp. 172-191.

The file kmp2-data.txt holds the data used in this paper. It is an ASCII
file in DOS format. It is zipped in the file kmp-data.zip.
 
The data are quarterly real GDP growth rates (second column) and the level
of the unemployment rate (third column) for the United States.  The data run
from 1959:Q1 to 2005:Q4.  The real GDP growth rates are formed as 400 times
the log first difference of the level of real GDP.  The first four
observations are used as conditioning information for estimation of the
VAR(4), meaning the final estimation sample runs from 1960:Q1 to 2005:Q4.
 
All data were obtained from the Federal Reserve Bank of St. Louis FRED
database (http://research.stlouisfed.org/fred2/).