Marķa Dolores Gadea and Laura Mayoral, "Aggregation is not the Solution: The PPP Puzzle Strikes Back", Journal of Applied Econometrics, Vol. 24, No. 6, 2009, pp. 875-894. The data used in this paper are those used in J. Imbs, J.A. Mumtaz, M.O. Ravn, and H. Rey. 2005."PPP Strikes Back: Aggregation and the Real Exchange Rate", Quarterly Journal of Economics, 120, 1-43. These data can be downloaded from the following web site: http://faculty.london.edu/hrey/pppdata.xls The database is organized in five plain ASCII files, the first four corresponding with the spreadsheets of the original data provided by Imbs et al. The files can be described as follows: 1.- prices.txt: sectoral price indexes for 11 European countries, from January 1981 to December 1995. 2.- USprices.txt: the same data than in 1 for US prices. 3.- aggregate.txt: aggregate price indexes for each country from January 1981 to December 1995. 4.- fx.txt: nominal exchange rate, defined as US dollars per domestic currency unit, from January 1975 to December 1996 The data for the fifth file have been obtained from Eurostat: 5.- weights.txt: weights of sectoral price indexes for 2006 All five files, which are in DOS format, are zipped in the file gm-data.zip. Unix/Linux users should use "unzip -a". Please address any questions to: Marķa Dolores Gadea lgadea [AT] unizar.es or Laura Mayoral laura.mayoral [AT] iae.csic.es