Christopher Douglas and Ana Maria Herrera, "Why are Gasoline Prices Sticky?
A Test of Alternative Models of Price Adjustment", Journal of Applied
Econometrics, Vol. 25, No. 6, 2010, pp. 903-928.

There are ten data files, which are zipped in the file dh-data.zip. All
files are CSV files and are in DOS format. Unix/Linux users should use
"unzip -a".

jhphil1.csv
jhphil7.csv
jhphil12.csv
jhphil13.csv
jhphil16.csv
mdphil2.csv
mdphil4.csv
mdphil11.csv
mdphil15.csv
nymex.csv

Note that the data description is taken from Davis and Hamilton's README
file available on the JMCB archive:

http://web.econ.ohio-state.edu/jmcb/Volume36No1.php

NYMEX.CSV
Daily data, 1/2/89 to 12/31/91, excluding weekends (782 observations total)
	col. 1 = date (in excel code, 32510 = 1/2/89)
	col 2 = New York Mercantile Exchange cash price for unleaded gasoline
                delivered to the New York Harbor, in cents per gallon,
		obtained from Datastream
 
JHPHIL*.CSV or MDPHIL*.CSV
Daily data, dates and number of observations differ, for Philadelphia 
wholesaler number *. All except 7, 12, 13, and 16 run from 1/2/89 to 12/31/91
= 782 observations.  

Series 7 runs from 1/2/89 to 6/17/91 = 641 observations. 
Series 12 runs from 1/2/89 to 11/6/91 = 743 observations.
Series 13 is missing 3 days in the middle (8/8/91 to 8/12/91, inclusive,
  which would be observations 679-681, inclusive, for regular series)--
  hazards for Series 13 for missing observation set to unity = 779 observations
Series 16 runs from 1/3/89 (observation #21 on a regular series) to 9/9/91
  (observation #701 on a regular series), for 681 observations

col 1 = date (in excel code, 32510 = 1/2/89)
col 2 = dealer's wholesale price (in cents per gallon)
col 3 = change in price from previous day
col 4 = event (=1 if price changed on that day)
col 5 = current duration (number of days elapsed since previous change)
col 6 = length of last completed duration as the current day

The firms in the data file are numbered 1,2,4,7,11,12,13,15,16.  In the paper,
these are renumbered 1-9.  Translation is as follows:
	computer code	called in paper
	1		1
	2		2
	4		3
	7		4
	11		5
	12		6
	13		7	
	15		8
        16              9