Refined asymptotic methods are used to produce degrees-of-freedom adjusted Edgeworth and Cornish-Fisher size corrections of the t and F testing procedures for the parameters of a S.U.R. model with serially correlated errors. The corrected tests follow the Student-t and F distributions,...

In this paper we suggest panel data unit root tests which allow for structural breaks in the individual effects or linear trends of panel data models. This is done under the assumption that the disturbance terms of the panel are heterogenous and serially correlated. The limiting distributions of...

The asymptotic local power of least squares based fixed-T panel unit root tests allowing for a structural break in their individual effects and/or incidental trends of the AR(1) panel data model is studied. These tests correct the least squares estimator of the autoregressive coeffcient of this...

The asymptotic power properties of fixed-T panel unit root tests allowing for serially correlated error terms are examined by deriving their asymptotic local power functions. This is done for dynamic panel data models allowing for individual effects or individual effects and incidental trends....

We extend Breitung's (2000) large-T panel data unit root test to the case of fixed time dimension while still allowing for heteroscedastic and serially correlated error terms. The analytic local power function of the new test is derived assuming that only the cross section dimension of the panel...

Finite T panel data unit root tests allowing for structural breaks, spatial cross section dependence, heteroscedasticity, serial correlation, heterogeneity and non-linear trends are proposed. The structural breaks can be at known or unknown dates. For the latter, analytic probability density...