We propose a unit root test for panels with cross-sectional dependency. We allow general dependency structure among the innovations that generate data for each of the cross-sectional units. Each unit may have di)erent sample size, and therefore unbalanced panels are also permitted in our framework. Yet, the test is asymptotically normal, and does not require any tabulation of the critical value...

This paper applies univariate and panel data unit root tests to annual panel data for 182 countries over the period 1979-2000 to examine the stationarity properties of per capita energy consumption. The univariate unit root test can only reject the unit root null for 29 per cent of the countries at the 10 per cent level or better without a trend and 37 per cent of the countries at the 10 per ce...

We apply bootstrap methodology to unit root tests for dependent panels with N cross-sectional units and T time series observations. More speci cally, we let each panel be driven by a general linear process which may be di erent across crosssectional units, and approximate it by a nite order autoregressive integrated process of order increasing with T . As we allow the dependency among the innov...

This paper extends the cross sectionally augmented panel unit root test proposed by Pesaran (2007) to the case of a multifactor error structure. The basic idea is to exploit information regarding the unobserved factors that are shared by other time series in addition to the variable under consideration. Importantly, our test procedure only requires specification of the maximum number of factors...

Solberger, M. 2013. Likelihood-Based Tests for Common and Idiosyncratic Unit Roots in the Exact Factor Model. Acta Universitatis Upsaliensis. Digital Comprehensive Summaries of Uppsala Dissertations from the Faculty of Social Sciences 90. 51 pp. Uppsala. ISBN 978-91-554-8754-6. Dynamic panel data models are widely used by econometricians to study over time the economics of, for example, people,...

We use a 3-step analysis to assess the sustainability of public finances in the EU27. Firstly, we perform the SURADF specific panel unit root test to investigate the meanreverting behaviour of general government expenditures and revenues ratios. Secondly, we apply the bootstrap panel cointegration techniques that account for the time series and cross-sectional dependencies of the regression err...

We combined recent developments in univariate and multivariate unit root testing in order to construct a more-powerful panel unit root test. We extended the GLS-detrending procedure of Elliott, Rothenberg, and Stock (1996) to a panel Augmented Dickey-Fuller test. The finite sample power properties of the new test demonstrate a very large gain when compared to existing tests, especially for smal...