Christian Gengenbach, Jean-Pierre Urbain, and Joakim Westerlund, "Error Correction Testing in Panels with Common Stochastic Trends", Journal of Applied Econometrics, Vol. 31, No. 6, 2016, pp. 982-1004. The data used in the paper are taken from two papers: Westerlund J. 2008. Panel cointegration tests of the Fisher effect. Journal of Applied Econometrics 23, 193?233. DOI: 10.1002/jae.967 Mark NC, Sul D. 2001. Nominal exchange rates and monetary fundamentals: Evidence from a small post-Bretton Woods panel. Journal of International Economics 53, 29?52. DOI: 10.1016/S0022-1996(00)00052-0 For the first application, the Fisher effect analysis, the data were taken from the OECD databases Economic Outlook and Main Economic Indicators. The data are quarterly and cover 20 OECD countries between 1980:1 and 2004:4. The zip file westerlund.zip contains two ASCII text files, infl.txt and rate.txt. For the second application, the data set of Mark and Sul (2001) is used. It covers 18 countries between 1973:Q1 and 1997:Q1. These data are available from the web page of Nelson Mark: http://www3.nd.edu/~nmark/wrkpaper/wp01.htm The zip file marksul.zip contains the data in prn format. The prn files can be treated as regular text files and may be opened by any text processing program such as Notepad or Wordpad. Each file contains its own data description. The files are cpi.txt, ipin.txt, mon.txt, and spot.txt All files in westerlund.zip and marksul.zip are ASCII files in DOS format. Unix/Linux users should use "unzip -a".