Brown et al. (2006) use monthly millet prices from 445 markets in Niger, Mali, and Burkina Faso, which is collected by the Famine Early Warning System (FEWS). Fafchamps and Gavian (1996) use the livestock price data from Niger.
Preliminary data files can be downloaded from Africa Data Dissemination Service of FEWS-NET.
The same webpage provides agricultural production statistics by sub-national districts. This should be superseded by Agro-MAPS.