Jean-Thomas Bernard, Jean-Marie Dufour, Lynda Khalaf, and Maral Kichian, 
"An Identification-Robust Test for Time-Varying Parameters in the 
Dynamics of Energy Prices", Journal of Applied Econometrics, Vol. 27, 
No. 4, 2012, pp. 603-624.

The data are the annual data series analyzed by Pindyck (1999), which we
have updated through 2006. The series for crude oil and bituminous coal span
the period from 1870 to 2006. For natural gas, the data cover 1919 to
2006. The nominal price series up to 1973 are from Manthy (1978) and the U.S.
Bureau of the Census. Pindyck (1999) updated these series through 1995 using
data from the U.S. Energy Information Agency (EIA) and, for 1996, the Wall
Street Journal. Following Pindyck, we used data from the EIA to update these
series through 2006. The series are deflated using the U.S. wholesale price
index until 1970, and, thereafter, the producer price index, which is
available from the Bureau of Labor Statistics website

  http://www.bls.gov
  
As in Pindyck (1999), all the price data we used in the paper are 1967 real
prices. Estimation is conducted on the logarithm of real prices. For
references cited here, please refer to the paper.

The dataset is provided in two files:

(1) The file named "coal-oil.txt" contains data for crude oil and bituminous
coal; column 1 is the year (1870-2006), column 2 is log real prices of coal,
and column 3 is log real prices of oil.

(2) The file named "gas.txt" contains data for natural gas; column 1 is the
year (1919-2006), column 2 is log real prices of gas.

Both of these are ASCII files in DOS format. They are zipped in the file
bdkk-data.zip. Unix/Linux users should use "unzip -a".

Jean-Thomas Bernard
GREEN
Département d'économique
Pavillon JA DeSève, Bureau 2282
Université Laval
Québec, Québec
G1V 0A6
Canada

jtber [AT] ecn.ulaval.ca