Emanuele Bacchiocchi and Luca Fanelli, "Testing the Purchasing Power Parity Through I(2) Cointegration Techniques", Journal of Applied Econometrics, Vol. 20, No. 6, 2005, pp. 749-770. The data are monthly and seasonally unadjusted and cover the period 1973:01 to 1998:01. The source is Datastream. All exchange rates are expressed in terms of units of domestic currency relative to the US dollar. Prices are measured as Consumer Price Indices with base year 1975. The data are zipped in the file pppi2.zip. The zip file contains pppi2.txt (an ASCII file in dos format) where variables are organized in 16 columns, one column for each variable. Columns follow the order below. The zip file also contains pppi2.xls, an Excel spreadsheet file containing exactly the same data as pppi2.txt. Variables are ordered as: pus, puk, eukus, pfr, efrus, pge, egeus, D7308, D8603, D9001, D7907, D8001, D9001, D9210, D8701, D9103. Definitions: pus log of US Consumer Price Index, base year 1975 puk log of UK Consumer Price Index, base year 1975 eukus log of nominal exchange rate between UK and US pfr log of French Consumer Price Index, base year 1975 efrus log of nominal exchange rate between France and US pge log of German Consumer Price Index, base year 1975 egeus log of nominal exchange rate between Germany and US where all logs are natural logarithms. Dummies included in the three VAR models are the following: for Germany/US: D7308 D8603 D9001 for UK/US: D7308 D7907 D8001 D9001 D9210 for France/US: D7308 D8001 D8701 D9001 D9103