Barry Falk and Chun-Hsien Wang, "Testing Long Run PPP with Infinite Variance
Returns", Journal of Applied Econometrics, Vol. 18, No. 4, 2003, pp.
471-484.

The file cpi.data contains cpi data, 1973:1-1999:12 for (in order): Belgium,
Canada, Denmark, France, Germany, Italy, Japan, Netherlands, Norway, Spain,
Sweden, U.K., U.S.

The file ex_rate.data contains bilateral (U.S.) nominal exchange rates,
1973:1-1999:12 for (in order): Belgium, Canada, Denmark, France, Germany,
Italy, Japan, Netherlands, Norway, Spain, Sweden, Switzerland, U.K.

For both files, there are 324 observations.

Both files are ASCII files in DOS format. They are zipped in the file
fw-data.zip. Unix users should use "unzip -a".