Panel Lm Unit-Root Tests with Level Shifts

  title={Panel Lm Unit-Root Tests with Level Shifts},
  author={Kyung So Im and Junsoo Lee and Margie A. Tieslau},
  journal={Econometrics eJournal},
This paper proposes a new panel unit-root test based on the Lagrangian multiplier (LM) principle. We show that the asymptotic distribution of the new panel LM test is not affected by the presence of structural shifts. This result holds under a mild condition that "N"/"T" goes to;"k", where "k" is any finite constant. Our simulation study shows that the panel LM unit-root test is not only robust to the presence of structural shifts, but is more powerful than the popular Im, Pesaran and Shin (IPS… 
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