Many macroeconomic time series exhibit non-stationary behaviour. When modelling such series an important problem is to assess the nature of this non-stationary behaviour. Initial interest centred on two types of linear non-stationary models, namely those for which the removal of a trend induces...

This paper examines the finite sample properties of three testing regimes for the null hypothesis of a panel unit root against stationary alternatives in the presence of cross-sectional correlation. The regimes of Bai and Ng (2004), Moon and Perron (2004) and Pesaran (2007) are assessed in the...