Yong Song, "Modelling Regime Switching and Structural Breaks with an
Infinite Hidden Markov Model", Journal of Applied Econometrics,
Vol. 29, No. 5, 2014, pp. 825-842.

All data are in the file real_interest_rate.txt, which is an ASCII
file in UNIX format. The file size is 11 KB. It is zipped in the file
ys-data.zip. Unix/Linux users should use "unzip -a".

There are 252 rows and 3 columns in the data file:

First column:    date (yyyy-mm-dd);
Second column:   continuously compounded nominal interest rate
Third column:    continuously compounded inflation rate

Sources:

The nominal interest rate is the 3-Month Treasury Bill downloaded form
Board of Governors of the Federal Reserve System (Series ID: TB3MS)

The inflation rate is constructed from CPI-U downloaded from US Bureau
of Labor Statistics.