Joakim Westerlund and Wolfgang Hess, "A New Poolability Test for 
Cointegrated Panels", Journal of Applied Econometrics, Vol. 26, No. 1, 
2011, pp. 56-88.

As explained in the paper, the data are taken directly from

  Mark, N., and D. Sul (2001), "Nominal Exchange Rates and Monetary
  Fundamentals: Evidence from a Small Post-Bretton Woods Panel," Journal of
  International Economics 53, 29-52.
  
They are available from the web page of Nelson Mark:

  http://www.nd.edu/~nmark/wrkpaper/Working_papers.htm.

The zip file, named marksul.zip, contains the data in prn format as well as
two Gauss programs for implementing the method discussed in Mark and Sul
(2001). 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.

All files in marksul.zip are ASCII files in DOS format. Unix/Linux users
should use "unzip -a". The files are:

  cpi.txt  ipin.txt  jie53.prg  mon.txt  spot.txt  usa.prg