I want to estimate the panel Seemingly Unrelated Regressions Augmented Dickey–Fuller (SURADF) test, which is proposed by Breuer et al.(2002). The SURADF test allows us to identify how many and which members of the panel contain a unit root. I need it for estimating the mean-reverting PPP.
http://dx.doi.org/10.1080/13504851.2011.568383