Panel unit root tests of real exchange rates as opposed to univariate tests usually reject non-stationarity. These … correlation matrix affect the size of first and second generation panel unit root tests. Two components of the real exchange rate …, the real exchange rate of a single good and a weighted sum of relative prices, are constructed from the data for a panel …

. For these purposes, panel unit root tests are employed to improve power against univariate counterparts. Since cross … section correlation is a distinct feature of the underlying panel data, results are based on various second generation panel …