This paper examines the finite sample properties of three testing regimes for the null hypothesis of a panel unit root against stationary alternatives in the presence of cross-sectional correlation.
Journal of Applied Econometrics, Vol. 22, No. 2, Heterogeneity and Cross Section Dependence in Panel Data Models: Theory and Applications (Mar., 2007), pp. 265-312 (48 pages) A number of panel unit ...
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