Simulations demonstrate that when unit-root behavior is rejected in a Levin and Lin panel test, it is incorrect to infer that all series are stationary. Recent tests proposed by Im, Pesaran and Shin, and by Sarno and Taylor, are also incapable of determining the mix of I(0) and I(1) series in a...

Ford et al. (this issue) point out that the SURADF panel unit root test may be sensitive to panel composition. This reply shows that they overstate the case since they focus on a short time series of 44 observations. Type II errors are much more likely in this environment so that inconsistent...