Mototsugu Shintani, "A Nonparametric Measure of Convergence Toward
Purchasing Power Parity", Journal of Applied Econometrics, Vol. 21, 
2006, pp. 589-604).

The data are provided in three ASCII files, in DOS format, which are zipped
in the file shintani-data.zip.

Annual real exchange rate series of five countries from 1900 to 1996 (97
obs. for each series) are included in "pppdata1.txt." From column one to six
are (1)Canada, (2)France, (3)Italy, (4)Japan, (5)Netherland and (6)UK.

Quarterly real exchange rate series of twenty countries from 1973Q1 to
1998Q2 (102 obs. for each series) are contained in two separate files,
"pppdata2.txt" and "pppdata3.txt." From column one to ten of the former
file are (1)Australia, (2)Austria, (3)Belgium, (4)Canada, (5)Denmark,
(6)Finland, (7)France, (8)Germany, (9)Greece, and (10)Ireland. From column
one to ten of the latter file are (11)Italy, (12)Japan, (13)Netherland,
(14)New Zealand, (15)Norway, (16)Portugal, (17)Spain, (18)Sweden,
(19)Switzerland, and (20)UK.

Real exchange rates are based on WPI for annual series and CPI for quarterly
series. Both real exchange rate series use U.S. as a numeraire. 

The data were originally constructed and used in Murray and Papell (2002,
Journal of International Economics).
 
"Lelq.g" is a GAUSS program to compute Lyapunov exponents and half-lives
(for UK data) in Table 4.  The program requires "base.src" and "kernels.src"
as well as the selection of bandwidth.  It also computes the local speed of
convergence in Figure 1. All three of these files are zipped in the file
shintani-progs.zip.