Pesaran, M. Hashem; Smith, L. Vanessa; Yamagata, Takashi - Department of Economics and Related Studies, University … - 2008
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...