Joakim Westerlund, "Panel Cointegration Tests of the Fisher Effect", Journal of Applied Econometrics, Vol. 23, No. 2, 2008, pp. 193-233. The data used in the article are from the OECD databases Economic Outlook and Main Economic Indicators. The data are quarterly and cover 20 OECD countries between 1980Q1 and 2004Q4. There are three ASCII text files, cpi.txt, interest_rate.txt, and durbin_hausman.txt. They are in DOS format and are zipped in the file jw-files.zip. Unix users should used "unzip -a". The short term interest rate data contained in the file interest_rate.txt (for the period 1980q1 to 2004q4) are taken from Economic Outlook, where they are denoted "Interest Rate, Short-Term." The consumer price index (CPI) data contained in the file cpi.txt (for the period 1979q4 to 2005q1) are taken from Main Economic Indicators, where they are denoted "CPI All items." Each column gives the data for one country for the time period shown in the first column. There is an ordered list of countries at the bottom of each file. The data used in the paper have been converted into annualized rates. The file durbin_hausman.txt contains a GAUSS code for implementing the Durbin-Hausman type panel cointegration tests proposed in the paper. The code assumes that the input data for y are T x N, where T and N are the time series and cross-sectional dimensions, respectively. The input data for x are assumed to be T x NK, where K is the number of regressors. The first K columns should contain the regressors for cross-section unit 1, the next K columns should contain the regressors for unit 2 and so on. Please address any questions to: Joakim Westerlund Department of Economics Lund University P.O. Box 7082 S-220 07 Lund Sweden