You can assign to levels:

levels(z)[levels(z)%in%c("unemployed","unknown","self-employed")] <- "unknown"

This is covered in the help file -- type ?levels.

Stealing from @akrun's answer, you could do this most cleanly with a hash/list:

ha <- list(
  unknown = c("unemployed","unknown","self-employed"),
  class1  = c("admin.","management")
)

for (i in 1:length(ha)) levels(z)[levels(z)%in%ha[[i]]] <- names(ha)[i]