George Kapetanios, "Dynamic Factor Extraction of Cross-Sectional Dependence in Panel Unit Root Tests", Journal of Applied Econometrics, Vol. 22, No. 2, 2007, pp. 313-338. The data for this paper have been taken from Vanessa Smith, Stephen Leybourne, Tae-Hwan Kim and Paul Newbold, "More Powerful Panel Data Unit Root Tests with an Application to Mean Reversion in Real Exchange Rates", Journal of Applied Econometrics, Vol. 19, No. 2, 2004, pp. 147-170. In particular, the data are real exchange rate data for Australia, New Zealand, Austria, Belgium, Canada, Denmark, Finland, France, Germany, Italy, Japan, Netherlands, Norway, Spain, Sweden, Switzerland and the United Kingdom. The data are available from http://www.econ.queensu.ca/jae/2004-v19.2/smith-leybourne-kim-newbold/