This article proposes a new panel unit root test based on Simes’ (1986) classical intersection test. The test is robust to general patterns of cross-sectional dependence and yet is straightforward to implement, only requiring <italic>p</italic>-values of time series unit root tests of the series in the panel,...

The Cauchy estimator of an autoregressive root uses the sign of the first lag as instrumental variable. The resulting IV <italic>t</italic>-type statistic follows a standard normal limiting distribution under a unit root case even under unconditional heteroscedasticity, if the series to be tested has no...

The paper examines the behavior of a generalized version of the nonlinear IV unit root test proposed by Chang (<CitationRef CitationID="CR6">2002</CitationRef>) when the series’ errors exhibit nonstationary volatility. The leading case of such nonstationary volatility concerns structural breaks in the error variance. We show that the...</citationref>

The puzzling Monte Carlo finding that the size distortion of meta-analytic panel unit root tests increases with the number of panel series is explained as the cumulative effect of arbitrarily small size distortions in the time series tests composing the panel test.