Philip Hans Franses and Richard Paap, "Censored Latent Effects Autoregression, with an Application to US Unemployment", Journal of Applied Econometrics, Vol. 17, No. 4, 2002, pp. 347-366. The data are in four separate files, each of them an ASCII file in DOS format, which are zipped in the file fp-data.zip. Unix users should use "unzip -a". unempl.dat Civilian Unemployment Rate Percent Seasonally Adjusted, 1959.01 - 1999.12 Source: U.S. Department of Labor, Bureau of Labor Statistics CLI.dat Composite Index of Leading Indicators (1996=100) Seasonally Adjusted, 1959.01 - 1999.12 Source: Business Cycle Indicators, Conference Board XLI.dat Stock and Watson Experimental Leading Indicator 1959.02 - 1999.12 Source: http://ksghome.harvard.edu/~.JStock.Academic.Ksg/xri/index.htm XLI-2.dat Stock and Watson nonfinancial Experimental Leading Indicator 1959.02 - 1999.12 Source: http://ksghome.harvard.edu/~.JStock.Academic.Ksg/xri/index.htm