Robert Sollis, "Evidence on Purchasing Power Parity from Univariate
Models: The Case of Smooth Transition Trend-Stationarity", Journal of
Applied Econometrics, Vol. 20, No. 1, 2005, pp. 79-98.

There are two data files, both of which are zipped in the file
sollis-dat.zip. Both files are ASCII files in DOS format. Unix users
should use "unzip -a".

qrex3.data contains quarterly real exchange rate data for the period
1973:1 to 1996:4. The data are in the form of a matrix containing 96
rows and 41 columns.  Column 3 is the CPI for the U.S. The other columns
of the matrix contain the nominal exchange rate and CPI for each country
in alphabetical order. So for example column 1 is the nominal exchange
rate for Australia, column 2 is the CPI for Australia; column 4 is the
nominal exchange rate for Austria, column 5 is the CPI for Austria;
column 40 is the nominal exchange rate for the U.K., column 41 is the
CPI for the U.K. The real exchange rate for each country is computed in
the usual way using this data.

qrex33.data contains quarterly real exchange rate data for the period
1973:1 to 1998:4. The data are in the form of a matrix containing 104
rows and 41 columns. The definitions and ordering of the data are the
same as for qrex3.data.

The list of countries is: Australia, Austria, Belgium, Canada, Denmark,
Finland, France, Germany, Greece, Ireland, Italy, Japan, Netherlands,
New Zealand, Norway, Portugal, Spain, Sweden, Switzerland, United
Kingdom.

All the data were obtained from the latest on-line version of the IMF
database on International Financial Statistics.