Harris, Richard; Tzavalis, Elias - In: Econometric Reviews 23 (2004) 2, pp. 149-166
In this paper, we suggest a similar unit root test statistic for dynamic panel data with fixed effects. The test is based on the LM, or score, principle and is derived under the assumption that the time dimension of the panel is fixed, which is typical in many panel data studies. It is shown...