The highly stable spin of neutron stars can be exploited for a variety of (astro)physical investigations. In particular, arrays of pulsars with rotational periods of the order of milliseconds can be used to detect correlated signals such as those caused by gravitational waves. Three such \u27pulsar timing arrays\u27 (PTAs) have been set up around the world over the past decades and collectively form the \u27International\u27 PTA (IPTA). In this paper, we describe the first joint analysis of the data from the three regional PTAs, i.e. of the first IPTA data set. We describe the available PTA data, the approach presently followed for its combination and suggest improvements for future PTA research. Particular attention is paid to subtle details (such as underestimation of measurement uncertainty and long-period noise) that have often been ignored but which become important in this unprecedentedly large and inhomogeneous data set. We identify and describe in detail several factors that complicate IPTA research and provide recommendations for future pulsar timing efforts. The first IPTA data release presented here (and available on-line) is used to demonstrate the IPTA\u27s potential of improving upon gravitational-wave limit