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 are monthly cpi data for 13 OECD countries.  They are contained
in the DOS file cp-data.dat, which is zipped in cp-data.zip. 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

Please address any questions to:

  Sarah Culver                                    
  Department of Economics             
  Univ. of Alabama at Birmingham 
  Birmingham, Alabama 35294-4460
  U.S.A.                                               

  sculver [AT] uab.edu