We present a test of the null hypothesis of stationarity against unit root alternatives for panel data that allows for arbitrary cross-sectional dependence. We treat the short run time series dynamics non-parametrically and thus avoid the need to fit separate models for the individual series. The statistic is simple to compute and is asymptotically normally distributed, even in the presence of ...

In this paper we suggest panel data unit root tests which allow for a structural breaks in the individual effects or linear trends of panel data models. This is done under the assumption that the disturbance terms of the panel are heterogenous and serially correlated. The limiting distributions of the suggested test statistics are derived under the assumption that the time-dimension of the pane...

An IV approach, using as instruments nonlinear transformations of the lagged levels, is explored to test for unit roots in panels with general dependency and heterogeneity across cross-sectional units. We allow not only for the cross-sectional dependencies of innovations, but also for the presence of cointegration across cross-sectional levels. Unbalanced panels and panels with differing indivi...

Background Over the last decade there has been an increase in healthcare expenditures while at the same time the inequity in distribution of resources has grown. These two issues have urged the researchers to review the determinants of healthcare expenditures. In this study, we surveyed the determinants of health expenditures in Economic Cooperation Organization (ECO) countries.   Methods We us...

An IV approach, using as instruments nonlinear transformations of the lagged levels, is explored to test for unit roots in panels with general dependency and heterogeneity across cross-sectional units. We allow not only for the cross-sectional dependencies of innovations, but also for the presence of cointegration across crosssectional levels. Unbalanced panels and panels with di¤ering individu...

This paper applies various recent panel unit root tests to 14 macroeconomic variables. These variables, observed for the OECD countries since the 50’s, are the same as those considered in the seminal paper by Nelson and Plosser (1982) for the United States. Two distinct generations of tests are used. The first one is based on a cross-sectional independence assumption. If we consider only tests ...

Cross-section finance studies virtually never test variables for unit roots, though econometric validity depends on testing. This paper develops a cross-section unit-root test and uses it on annual data for the return on equity and the return on invested capital, ROE and ROIC, key variables in the Edwards-BellOhlson (EBO) accounting and Free Cash Flow (FCF) finance valuation models. Conventiona...