When a treatment in difference in differences (DD) is applied to a group of individuals with a time-constant qualifiÂ…cation/eligibility such as gender or race, there is no issue of choosing to be (un-)treated. But if the qualiÂ…fication is time-varying, then the individuals may alter...

This paper extends the cross sectionally augmented panel unit root test proposed by Pesaran (2007) to the case of a multifactor structure. The basic idea is to exploit information regarding the unobserved factors that are shared by other time series in addition to the variable under...