Richard T. Baillie, Ching-Fan Chung, and Margie A. Tieslau, "Analyzing Inflation by the Fractionally Integrated ARFIMA-GARCH Model", Journal of Applied Econometrics, Vol. 11, No. 1, 1996, pp. 23-40. The data are all Consumer Price Indices (CPIs) and are taken from Citibase in January 1991. There are two files: g7.dat and high.dat, which are both contained in the file bct-data.zip. The first column of g7.dat is the inflation series for the US; i.e. the first difference of the logarithm of the US CPI series. The other six columns are the original price indices starting January 1948 through 1990 for the G7 countries. The order of these series is: U.S. Canada France Germany Italy Japan U.K. The file high.dat contains price level data for the three high inflation economies of Argentina, Brazil, and Israel, in that order. These series start in January 1957 and end in 1990.