Hanck, Christoph - In: Econometric Reviews 32 (2013) 2, pp. 183-203
This article proposes a new panel unit root test based on Simes’ (1986) classical intersection test. The test is robust to general patterns of cross-sectional dependence and yet is straightforward to implement, only requiring <italic>p</italic>-values of time series unit root tests of the series in the panel,...