Anindya Banerjee and Josep Lluís Carrion-i-Silvestre, "Cointegration and Panel Data with Breaks and Cross-Section Dependence", Journal of Applied Econometrics, Vol. 30, No. 1, 2015, pp. 1-23. The file bc-data.zip contains the files: Austria.txt Finland.txt France.txt Germany.txt Greece.txt Ireland.txt Italy.txt Netherlands.txt Portugal.txt Spain.txt year_month.txt Each of these is an ASCII file in DOS format, which contains data on the logarithm of import prices (lm?), foreign prices (lf?), and the exchange rate against the US dollar. The question mark denotes the sector, which can take values from 0 to 8. See the companion appendix for further details. The file bc-progs.zip contains the files brkcoint.src COIKPSS_factor.src factcoint.src factcoint_msb.src These are the GAUSS procedures that are used to obtain the results. Practitioners do not need to change anything of the content of these files. There is an explanation of the syntax used for each procedure in these files. The file bc-progs.zip also contains the files brkfactors_heterog.gss brkfactors_heterog_2sb.gss brkfactors_heterog_minSSR_iter.gss brkfactors_heterog_minSSR_iter_2sb.gss * brkfactors_heterog.gss is a GAUSS program that computes the panel data cointegration test statistic allowing for one structural break. * brkfactors_heterog_2sb.gss is a GAUSS program that computes the panel data cointegration test statistics allowing for two structural breaks. * brkfactors_heterog_minSSR_iter.gss is a GAUSS program that estimates the cointegration relationship for each unit, assuming that cointegration holds and accounting for one structural break. * brkfactors_heterog_minSSR_iter_2sb.gss is a GAUSS program that estimates the cointegration relationship for each unit, assuming that cointegration holds and accounting for two structural breaks. Unix/Linux users should use "unzip -a".