M. H. Pesaran, "A Simple Panel Unit Root Test in the Presence of Cross
Section Dependence", Journal of Applied Econometrics, Vol. 22, No. 2, 
2007, pp. 265-312.

There are two datasets. All data files are ASCII files in DOS format using
commas as separators. Unix users should use "unzip -a".

One data file is realexchangerates7398.csv, which is zipped in
real-xrate.zip.

The data consist of quarterly real exchange rates against the US dollar for
17 OECD countries. Each column represents the real exchange rate of each
individual country, ordered as follows: Australia, New Zealand, Austria,
Belgium, Canada, Denmark, Finland, France, Germany, Italy,Japan,
Netherlands, Norway, Spain, Sweden, Switzerland, and UK.

The number of observations is 104, spanning the period 1973Q1 to 1998Q4.
The real exchange rates are measured in logarithms, such that the series of
interest for country i is, at time t,

   Y_it = S_it + P_USt - P_it,
   
where S_it is the logarithm of the units of country i's currency per US
dollar, and P_USt and P_it are the logarithms of consumer price indices in
the US and country i, respectively. The nominal exchange rate and consumer
price index data for the period under investigation are obtained from the
OECD Main Economic Indicators Statistical Compendium 2000.

The file earnings.zip contains four data files:

  EarningsAll22.csv
  EarningsHSD22.csv
  EarningsHSG22.csv
  EarningsCLG22.csv

The data set (log of real earnings) is based on the PSID data used by Meghir
and Pistaferri (2004). Please see the appendix of their paper for
step-by-step details on sample selection. We further select the individuals
who have continuous 22 observations from 1971-1992, and this leaves 181
individuals. Following Meghir and Pistaferri, we categorize the individuals
into three education groups: High School Dropouts (HSD, 36 individuals),
High School Graduates (HSG, 87 individuals) and College Graduates (CLG, 58
individuals).

The files are in csv format. The file name corresponds to the education
groups. The first row shows the sequential numbers of individuals for each
group.

Reference:

Meghir, C. and L. Pistaferri (2004). Income variance dynamics and
heterogeneity, Econometrica 72, 1-32.