Im, K.S.; Pesaran, M.H. - Faculty of Economics, University of Cambridge - 2003
This paper re-examines the panel unit root tests proposed by Chang (2002). She establishes asymptotic independence of … series are cross sectionally dependent. She claims that her non-linear instrumental variable (NIV) panel unit root test is … Chang's NIV panel unit root test suffers from gross size distortions, even when N is small relative to T. …