Simon Reese and Joakim Westerlund, "PANICCA -- PANIC on Cross-Section Averages", Journal of Applied Econometrics, Vol. 31, No. 6, 2016, pp. 961-981. As explained in the paper, the data are taken directly from: Westerlund, J. (2001), "Unbiased Estimation of Cointegrated Panel Regressions with Cross Section Dependence", Journal of Financial Econometrics 5, 491-522. The file, named westerlund2007.csv, contains the data in csv format, which may be opened by Excel or any text processing program such as Notepad or Wordpad. The file contains the following columns: 1. Ctry_ID = Country identifier 2. Ctry = Country name 3. date = Date 4. rspot = Spot rate 5. rfwd = Forward rate For details regarding the definition of the variables, we make reference to Westerlund (2007). The file westerlund2007.csv is an ASCII file in DOS format. It is zipped in rw-data.zip. Unix/Linux users should use "unzip -a".