Jushan Bai and Serena Ng, "Boosting Diffusion Indices", Journal of Applied
Econometrics, Vol. 24, No. 4, 2009, pp. 607-629.

The data are extracted from the dataset with 132 series in

  James H. Stock and Mark W. Watson, "Implications of Dynamic Factor Models
  for VAR Analysis", NBER Working Paper No. W11467, 2005.

The data appendix of this paper lists all series. Data transformations
follow the codes listed in their appendix. The data are monthly,
1959:1-2003:12.

The four series used in our analysis are

  Column 1: PUNEW  (CPI, series 115)
  Column 2: IPS10 (industrial production, series 6)
  Column 3: CES002 (employment, series 33)
  Column 4: FYFF. (fed funds rate series 86)

These data are in the file bn-data.txt, which is an ASCII file in DOS
format. It is zipped in the file bn-data.zip. Unix users should use 
"unzip -a".