Ivan Paya and David A. Peel, "Temporal Aggregation of an ESTAR Process:
Some Implications for Purchasing Power Parity Adjustment", Journal of
Applied Econometrics, Vol. 21, 2006, pp. 655-668.

The data for the Dollar/Pound and Dollar/French Franc over two centuries
used in the article and analyzed in Lothian and Taylor (1996), "Real
exchange rates over the past two centuries", Journal of Political Economy
Vol. 104, pp. 488-509, were provided to us by Professor Mark Taylor.

The data set consists of annual observations. The Dollar/Pound series span
1791-1992. The Dollar/French Franc series span 1803-1992. Deflation of the
nominal exchange rate series is done by the wholesale price index. A full
description of the data sources and methods is given in Lothian and Taylor
(1996, pp. 505-506).

This is a confidential data file. Requests for access to this file should be
directed to

  Professor Mark P. Taylor
  Department of Economics
  University of Warwick
  Coventry CV4 7AL
  UK

The data for the real exchange rate Dollar/Deutsche Mark for the Gold
Standard period were previously analyzed in Diebold, Husted and Rush (1991),
"Real exchange rates under the gold standard", Journal of Political Economy
Vol. 99, pp. 1252-71; and in Hegwood and Papell (2002), "Purchasing power
parity under the Gold Standard", Southern Economic Journal Vol. 69, pp.
72-91. These data were provided to us by Professor David Papell.

This data set consists of annual observations from 1793 until 1913. The
Dollar/Deutsche Mark nominal exchange rate is deflated using the wholesale
price index. A detailed description of the data construction can be found
in Diebold et al. (1991, pp. 1256-1258).

This is a confidential data file. Requests for access to this file should be
directed to

  Professor David Papell
  Department of Economics
  University of Houston
  Houston TX 77204-5882
  USA