Article history: Accepted 25 February 2013 JEL classification: G12 G14 E43

Article history: Received 8 May 2008 Available online 5 August 2009 JEL classification: A14 D20 J00

Article history: Received 21 April 2008 Available online 28 April 2010 JEL classification: C72

Article history: Received 23 December 2008 Available online 18 January 2009 JEL classification: C70

Article history: Accepted 19 February 2012 JEL classification: C72 D01 D43 L13

Article history: Received 4 October 2010 Available online 9 November 2010 JEL classification: C70 C72 C73

Article history: Received 7 May 2009 Available online 13 February 2010 JEL classification: C7 C9 D74

Article history: Received 5 February 2007 Available online 28 November 2008 JEL classification: C72

We propose a nonlinear heterogeneous panel unit root test for testing the null hypothesis of unit-root processes against the alternative that allows a proportion of units to be generated by globally stationary ESTAR processes and a remaining non-zero proportion to be generated by unit root processes. The proposed test is simple to apply and accommodates cross section dependence. Monte Carlo sim...

A new Bayesian test statistic is proposed to test a point null hypothesis based on a quadratic loss. The proposed test statistic may be regarded as the Bayesian version of Lagrange multiplier test. Its asymptotic distribution is obtained based on a set of regular conditions and follows a chi-squared distribution when the null hypothesis is correct. The new statistic has several important advant...