Some cautions on the use of nonlinear panel unit root tests: Evidence from a modified series-specific non-linear panel unit-root test

► We examine the relevance of nonlinear panel unit root test in RER behaviors. ► Nonlinear test achieves lower power performance when the data is linear in nature. ► This posts some cautions on the general use of nonlinear panel unit root test. ► We develop and test a modified series-specific test for Chinese RERs. ► Evidence in favor of PPP hypothesis for China's four ASEAN trading partners.