A unit root testing procedure is presented that exploits the well-established power advantages of panel estimation while rectifying a deficiency in other panel unit root tests. This test (called SURADF) is based on seemingly unrelated regressions applied to Augmented Dickey-Fuller (ADF) tests...

The day of the week on which the forward rate is quoted and the day of the week on which the corresponding one-period ahead spot rate matched to the delivery date of the forward contract is quoted may play a systematic role in the empirical estimates of the coefficient on the forward premium in...

This study demonstrates that the joint relationship among domestic traded-goods prices, domestic nontraded-goods prices, foreign traded-goods prices, and foreign nontraded-goods prices is important to understanding rejections or confirmations of long-run PPP. This joint relationship is defined...

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...