First-differencing is generally taken to imply the loss of one observation, the first, or at least that the effect of ignoring this observation is asymptotically negligible. However, this is not always true, as in the case of GLS detrending. In order to illustrate this, the current paper...

This paper proposes new unit root tests for panels where the errors may be not only serial and/or cross- orrelated, but also unconditionally heteroskedastic. Despite their generality, the test statistics are shown to be very simple to implement, requiring only minimal corrections and still the...

In a very influential paper Elliott et al. (Efficient Tests for an Autoregressive Unit Root, Econometrica 64, 813–836, 1996) show that no uniformly most powerful test for the unit root testing problem exits, derive the relevant power envelope and characterize a family of point-optimal tests....

This paper considers the issue of whether shocks to ten commodity prices (gold, silver, platinum, copper, aluminum, iron ore, lead, nickel, tin, and zinc) are persistent or transitory. We use two recently developed unit root tests, namely the Narayan and Popp (NP, 2010) test and the Liu and...