Bruno Bosco, Lucia Parisio, Matteo M. Pelagatti, and Fabio Baldi, "Long Run Relations in European Electricity Prices", Journal of Applied Econometrics, Vol. 25, No. 5, 2010, pp. 805-832. There are two zip files. The file bppb-data.zip contains two .csv ASCII files in DOS format that contain data. See below for detailed information about these files. Unix users should use "unzip -a". The file bppb-oxcode.zip contains four Ox (www.doornik.com) libraries, which are documented in the file bppb-doc.pdf. This library contains the functions that were used to carry out tests and estimates with the methods proposed in the article. These are called fmlad.ox, lucas_test.ox, newkpss.ox, and nh.ox. File: Prices.csv This file contains the natural logarithm of weekly median electricity prices (median of 120 hourly data per week, considering only Mon-Fri). For Oil (Brent) and Gas (Zee) the medians are computed as median of the 5 daily prices. All prices are expressed in (current) Euro. Columns (fields): 01. Week number: the first one (1-1) starts (Monday) on the 4th of January 1999. The last one (428-1) starts on the 12th of March 2007. 02. APX (Netherland's log electricity prices, source: Datastream) 03. EEX (German log electricity prices, source: Datastream) 04. EXAA (Austrian log electricity prices, source: Energy Exchange Austria, www.exaa.at) 05. POWERNEXT (French log electricity prices, source: Powernext, www.powernext.fr) 06. OMEL (Spanish log electricity prices, source: Operador del Mercado Iberico de Energia, www.omel.es) 07. NORDPOOL (Scandinavian log electricity prices, source: Datastream) 08. BRENT (log Brent prices in Euro, source both for brent prices and exchange rates: Datastream) 09. ZEE (log Zeebrugge Gas prices as from the ZEEBDAHD Index, source: Bloomberg) File: MeanPrices.csv This file contains weekly mean prices computed on weekday hourly prices. Columns (fields): 01. Week number: the first one (1-1) starts (Monday) on the 4th of January 1999. The last one (428-1) starts on the 12th of March 2007. 02. APXmean (Netherland's electricity prices, source: Datastream) 03. EEXmean (German electricity prices, source: Datastream) 04. EXAAmean (Austrian electricity prices, source: Energy Exchange Austria, www.exaa.at) 05. Nordmean (Scandinavian electricity prices, source: Datastream) 06. Omelmean (Spanish electricity prices, source: Operador del Mercado Iberico de Energia, www.omel.es) 07. Powermean (French electricity prices, source: Powernext, www.powernext.fr) In both files, missing values are labeled #N/A. Matteo Pelagatti Assistant Professor Dept. of Statistics University of Milan-Bicocca Tel. +39 02 64485834 matteo.pelagatti [AT] unimib.it