In Choi and Timothy K. Chue, "Subsampling Hypothesis Tests for Nonstationary
Panels with Applications to Exchange Rates and Stock Prices", Journal of
Applied Econometrics, Vol. 22, No. 2, 2007, pp. 233-264.

All files are ASCII in tab-delimited, DOS format. They are zipped in the
file cc-data.zip. Unix users should use "unzip -a".

The first two files contain nominal exchange rate and consumer price index
(CPI) data for a group of 26 OECD countries used in Section 7 of the paper.
Each column represents data from one country, listed in the following order:
UNITED STATES, UNITED KINGDOM, AUSTRIA, BELGIUM, DENMARK, FRANCE, GERMANY,
ITALY, LUXEMBOURG, NETHERLANDS, NORWAY, SWEDEN, SWITZERLAND, CANADA, JAPAN,
FINLAND, GREECE, ICELAND, IRELAND, PORTUGAL, SPAIN, TURKEY, AUSTRALIA, NEW
ZEALAND, MEXICO, AND KOREA.

(1) oecder.txt: nominal exchange rates from 1973Q2 to 2000Q4. They are
measured in units of foreign currency per US$.  Source: the International
Financial Statistics (IFS) database of the IMF.

(2) oecdcpi.txt: CPI from 1973Q2 to 2000Q4. Source: the International
Financial Statistics (IFS) database of the IMF.

The third file contains monthly stock index data used in Section 8 of the
paper.

(3) mscius.txt: total stock return index (includes dividends) from
December 1969 to December 2002.  Source: Morgan Stanley Capital
International (MSCI). Each column represents data from one country,
listed in the following order: AUSTRALIA, AUSTRIA, BELGIUM, CANADA,
DENMARK, FRANCE, GERMANY, HONG KONG, ITALY, JAPAN, NETHERLANDS, NORWAY,
SINGAPORE, SPAIN, SWEDEN, SWITZERLAND, UK, USA. The last column reports
the MSCI WORLD stock market index.  All data are measured in US dollars.