Lutz Kilian and Tao Zha, "Quantifying the Uncertainty about the
Half-Life of Deviations from PPP", Journal of Applied Econometrics, Vol.
17, No. 2, 2002, pp. 107-125.

All data are in ASCII format and are zipped in the file kz-data.zip. Unix
users should use "unzip -a".

The ASCII data file contains monthly real exchange rate data (in logs) for
the 17 countries considered in our study.  The format is Tx17.  The ordering
of the countries corresponds to that in the tables in the paper, starting
with Austria in the first column.  The real exchange rate is defined in the
paper.

The original data source for the nominal U.S. dollar exchange rate and CPI
data are the IMF's International Financial Statistics (IFS).  The sample
period is 1973.1-1997.4, corresponding to 292 observations.

Lutz Kilian
Department of Economics
University of Michigan
Ann Arbor, MI 48109-1220
Phone: (734) 764-2320
Fax:   (734) 764-2769
Email: lkilian@umich.edu
http://www.econ.lsa.umich.edu/~lkilian/