Panel Unit Root Tests by Combining Dependent 𝑃 Values: A Comparative Study

Table 8

Unit root tests for 27 OECD real exchange rates.

US dollar real exchange rate					Deutchemark real exchange rate
Country	k	P value		Simes criterion	Country	k	P value		Simes criterion
New Zealand	8	0.008		0.002	Mexico	3	0.006		0.002
Sweden	8	0.053		0.004	Iceland	0	0.010		0.004
United Kingdom	7	0.055		0.006	Australia	3	0.012		0.006
Finland	7	0.058		0.007	Korea	0	0.014		0.007
Spain	8	0.061		0.009	Canada	7	0.040		0.009
Mexico	3	0.066		0.011	Sweden	0	0.074		0.011
Iceland	8	0.069		0.013	United States	4	0.148		0.013
Switzerland	4	0.071		0.015	New Zealand	0	0.171		0.015
France	4	0.080		0.017	Finland	6	0.232		0.017
Netherlands	4	0.099		0.019	Turkey	8	0.241		0.019
Austria	4	0.102		0.020	Netherlands	1	0.415		0.020
Italy	4	0.103		0.022	Norway	7	0.417		0.022
Belgium	4	0.135		0.024	Spain	0	0.459		0.024
Korea	0	0.138		0.026	France	0	0.564		0.026
Germany	4	0.148		0.028	Italy	0	0.565		0.028
Greece	4	0.150		0.030	Poland	5	0.579		0.030
Norway	7	0.167		0.031	Hungary	4	0.612		0.031
Denmark	3	0.206		0.033	Belgium	0	0.618		0.033
Ireland	7	0.235		0.035	Luxembourg	0	0.655		0.035
Japan	4	0.246		0.037	Japan	5	0.656		0.037
Luxembourg	3	0.276		0.039	United Kingdom	0	0.697		0.039
Portugal	8	0.332		0.041	Denmark	0	0.698		0.041
Australia	3	0.386		0.043	Ireland	0	0.708		0.043
Poland	0	0.414		0.044	Austria	0	0.720		0.044
Turkey	8	0.418		0.046	Switzerland	8	0.733		0.046
Canada	6	0.580		0.048	Portugal	0	0.786		0.048
Hungary	0	0.816		0.050	Greece	5	0.880		0.050
P			0.097					0.015
𝑍^∗			0.095					0.016
𝑊^∗			0.257					0.002

Note. Simes criterion is calculated using the 5% significance level.