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. All data are in the file slkm-data.dat, an ASCII file in DOS format which is zipped in the file slkm-data.zip. Unix users should use "unzip -a". The data consist of quarterly real exchange rates against the US dollar for N=17 OECD countries. Each column represents the real exchange rates 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 T=45 spanning the period 1987-4 to 1998-4. The real exchange rates are measured in logarithms, such that the series of interest for country i is, at time t, Yit=Sit-Pust+Pit, where Sit is the logarithm of the nominal exchange rate against the US dollar, and Pust and Pit are respectively logarithms of consumer price indices in the US and country i. 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.