Law of one price data for the paper entitled “the autoregressive distributed lag bounds test generalised to consider a long-run levels relationship when all levels variables are I(0)”

This Excel file contains the natural logarithms of the Bulgaria-Denmark and Denmark-euro exchange rates as well as the logarithms of the relative prices for selected products for Bulgaria-Denmark (pharmaceutical products) and Denmark-Euro Area (household textiles; recreational and sporting services). The maximum sample period of this data is January 1999 to July 2023. This data was used in producing empirical results in the paper entitled “The autoregressive distributed lag bounds test generalised to consider a long-run levels relationship when all levels variables are I(0)” by Chris Stewart. These empirical results illustrate the application of the generalisation of the autoregressive distributed lag bounds test for a long run levels relationship proposed in this paper.

Dataset

The data are basic mathematical transformations of raw exchange rate and price data from the secondary data source: Eurostat database (Database - Eurostat (europa.eu)).

The data from Eurostat are euro exchange rates (number of national currency per euro). The natural logarithm has been taken of the Denmark-euro exchange rate from Eurostat. The Bulgaria-Denmark exchange rate is calculated as the ratio of the Bulgaria-euro to Denmark-euro exchange rates taken from Eurostat. The natural logarithm is then taken of the derived Bulgaria-Denmark exchange rate. Household textiles prices as well as recreational and sporting services prices for Denmark and the Euro Area are taken from Eurostat. The natural logarithm of the ratio of Danish to Euro Area household textiles prices as well as the natural logarithm of the ratio of Danish to Euro Area recreational and sporting services prices are constructed. Pharmaceutical product prices for Bulgaria and Denmark are take from Eurostat. The natural logarithm of the ratio of Bulgarian to Danish pharmaceutical product prices is constructed from this raw data.