Lance Fisher, Hyeon-seung Huh, and Adrian Pagan, "Econometric Methods for Modelling Systems with a Mixture of I(1) and I(0) Variables", Journal of Applied Econometrics, Vol. 31, No. 5, 2016, pp. 892-911. As stated in the text (footnote 6), our empirical analysis uses the dataset of Peersman (2005) in the Journal of Applied Econometrics Data Archive. His dataset is reproduced here for readers. All data are quarterly for the period of 1970:1 to 2002:2. They are stored in the ASCII file slowdown_dataset.txt, which is zipped in the file gp-data.zip. Unix/Linux users should use "unzip -a". The variable names are as follows: OIL = Oil price index YEMU = Euro area real GDP CPEMU = Euro area CPI SEMU = Euro area short-term interest rate YUS = U.S. real GDP CPUS = U.S. CPI SUS = U.S. short-term interest rate