Angus Deaton and Guy Laroque, "Estimating a Nonlinear Rational Expectations Model with Unobservable State Variables," Journal of Applied Econometrics, Vol. 10, Supplement, 1995, pp. S9-S40. The annual prices from 1900 to 1987, compiled by the World Bank for the various commodities, together with the US consumer price index, are stored in individual files, by series. These are all zipped in dl-data.zip. The files are: bana1900.dta (bananas) coco1900.dta (cocoa) coff1900.dta (coffee) copp1900.dta (copper) cott1900.dta (cotton) cpi1900.dta (U.S. CPI) jute1900.dta (jute) maiz1900.dta (maize) palm1900.dta (palm oil) rice1900.dta (rice) suga1900.dta (sugar) tea1900.dta (tea) tin1900.dta (tin) whea1900.dta (wheat)