Panel Unit Root Tests under Cross Section Dependence with Recursive Mean Adjustment

@inproceedings{Sul2009PanelUR,
  title={Panel Unit Root Tests under Cross Section Dependence with Recursive Mean Adjustment},
  author={Donggyu Sul},
  year={2009}
}
Utilizing recursive mean adjustment we provide two unit root tests: the covariate-recursive mean adjusted unit root test and the panel feasible generalized recursive mean adjusted unit root test. The first test uses the cross sectional average of the panel data to test for non-stationarity in the common factors of the panel. The second test is designed for testing non-stationarity in the idiosyncratic errors. The proposed panel unit root tests are precise and powerful, especially when T is… CONTINUE READING