Philippe J. Deschamps, "Comparing Smooth Transition and Markov Switching 
Autoregressive Models of US Unemployment", Journal of Applied 
Econometrics, Vol. 23, No. 4, 2008, pp. 435-462.

The data file is an ASCII file in DOS format. It is zipped in the file 
pd-data.zip. Unix users should use "unzip -a".

The file ms5542data.txt contains three series from October 1959 to 
December 2004 (543 observations; the first three observations were used 
as initial conditions):

LRMT20: Civilian US unemployment rate, men, 20 years and over 
(seasonally adjusted, in percentage points). Source: Haver Analytics 
USECON database, April 2005 edition, series name LRMT20. This is the 
series denoted by U_t in the paper.

LOGRATIO: This is the logistic transform of U_t, defined by: ln[(0.01 U_t /
(1-0.01 U_t)]

SEASDIFF: This is the seasonal difference U_t-U_(t-12), whose first lag 
is used as transition variable in the STAR model.