Antonello D'Agostino, Luca Gambetti, and Domenico Giannone, 
"Macroeconomic Forecasting and Structural Change", Journal of Applied 
Econometrics, Vol. 28, No. 1, 2013, pp. 82-101.

The data are stored in the file dgg-data.xls file. It includes three 
sheets:

  Defl (GDP Deflator)
  Unem (Unemployment Rate)
  TB3MS (Three Months Treasury Bill Secondary Market)

The file dgg-data.xls is zipped in dgg-excel.zip.

In addition, the data are also contained in three CSV files (comma 
separated ASCII files, in DOS format). These files (tbill.csv, 
unemp.csv, and deflator.csv) are zipped in the file dgg-csv.zip. 
Unix/Linux users should use "unzip -a".

The source of the data for the first two sheets is the Federal Reserve 
Bank of Philadelphia:

  http://www.phil.frb.org/econ/forecast/reaindex.html

For TB3MS, the source is the Federal Reserve Bank of St. Louis (FRED 
Dataset):

  http://research.stlouisfed.org/fred2/data/TB3MS.txt