Ralf Becker, Walter Enders, and Stan Hurn, "A General Test for Time
Dependence in Parameters", Journal of Applied Econometrics, Vo. 19, 
No. 7, 2004, pp. 899-906.

The data are monthly observations of the seasonally adjusted US Consumer Price
Index For All Urban consumers: All Items (1982-1984 = 100) over the period
January 1947 to Nov 2001. There are 659 total observations.

The data were obtained from the website of the Federal Reserve Bank of St.
Louis (http://research.stlouisfed.org/fred2/categories/9). The file
cpi.data, which is zipped in cpi.zip, contains two columns. The first
contains the date and the second contains the value of the cpi for that
date.

The file fig1.rat contains a RATS program that was used to generate Figure 1.