My dataset of monthly Mexican micro consumer prices covers the period ranging from September 1993 through December 2010. I used portions of this dataset in:
Gagnon, Etienne (2009). “Price Setting during Low and High Inflation: Evidence from Mexico,” Quarterly Journal of Economics, vol. 124(3), pages 1221–1263.
Gagnon, Etienne, David López-Salido, and Nicolas Vincent (2013). “Individual Price Adjustment along the Extensive Margin,” NBER Macroeconomics Annual 2012, University of Chicago Press, vol. 27(1), pages 235–281.
Before downloading the micro data, please first take a look at the documentation. I am making available several versions of the dataset to allow researchers to reconstruct (and possibly expand) the dataset from the micro data originally published in Mexico's Diario Oficial de la Federación. The data used in the above articles were filtered in a number of ways that may or may not suit your needs. This data release is accompanied by Matlab programs to replicate all figures and tables in Gagnon (2009), which were not available at the time of publication. For convenience, I also include times series of the key statistics on the average frequency and magnitude of price changes.
Documentation: here
1993-2002 period: raw data unfiltered dataset filtered dataset key time series
2002-2010 period: raw data unfiltered dataset filtered dataset key time series