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...

This paper examines "leverage" and volatility feedback effects at the firm level by considering both market effects and firm level effects, using 242 individual firm stock data in the US market. We adopt a panel vector autoregressive framework which allows us to control simultaneously for common...