Constantino Hevia, Martin Gonzalez-Rozada, Martin Sola, and Fabio Spagnolo, "Estimating and Forecasting the Yield Curve Using a Markov Switching Dynamic Nelson and Siegel Model", Journal of Applied Econometrics, Vol. 30, No. 6, 2015, pp. 987-1009. Data: U.S. Treasury yields of fixed maturities of 3, 6, 9, 12, 15, 18, 21, 24, 30, 36, 48, 60, 72, 84, 96, 108 and 120 months. The yields are derived from bid-ask average price quotes, from January 1970 through December 2000 (372 observations for each of the 17 maturity), as constructed by Diebold and Li (2006). The data are in the file hgss-data.txt, which is an ASCII file in DOS format. It is zipped in the file hgss-data.zip. Rows: dates (372 monthly observations, from 1970 to 2000). Columns: maturities (17 variables). The same data are also in the file hgss-data.xlsx.