Jushan Bai and Peng Wang, "Conditional Markov Chain and its Application 
in Economic Time Series Analysis", Journal of Applied Econometrics, Vol. 
26, No. 5, 2011, pp. 715-734.

The data file, "growth.txt", is stored as a 139-by-2 matrix. The first 
column contains quarterly data on US real GDP growth rate, and the 
second column contains US nonfarm employment growth rate. Both series 
span from 1947Q2 to 2006Q4, with a total number of 139 observations for 
each variable.

The source of the data is

  http://research.stlouisfed.org/fred2

The file growth.txt is an ASCII file in DOS format. It is zipped in the 
file growth.zip. Unix/Linux users should use "unzip -a".