Steve Cook, "A Re-Examination of the Stationarity of Inflation",
Journal of Applied Econometrics, Vol. 24, No. 6, 2009, pp. 1047-1053.

The data used in this paper are those examined in:

Sarah E. Culver and David H. Papell, "Is There a Unit Root in the
Inflation Rate? Evidence from Sequential Break and Panel Data Models",
Journal of Applied Econometrics, Vol. 12, No. 4, 1997, pp. 435-444.

The data may be found here:

  http://www.econ.queensu.ca/jae/1997-v12.4/culver-papell/

The data are monthly cpi data for 13 OECD countries.  They are contained in
the DOS file cp-data.dat. The data are organized by column, with the first
row in each column describing the variable below it.  For example, the first
column contains the variable "month", the second column contains the
variable "year", the third column contains the variable "us" (for United
States cpi), the fourth column contains the variable "uk" (for United
Kingdom cpi), etc.  There are a total of 15 columns. The order of the
countries is:

  US UK Belgium France Germany Italy Luxemborg Netherlands Norway Canada
  Japan Finland Spain

The size of the dat file is approximately 69KB.

Professor Steve Cook
Department of Economics
Swansea University
http://www.swan.ac.uk/staff/academic/BusinessEconomics/cooks/