on an empirical likelihood ratio. The computations necessary for obtaining a test statistic also provide estimates of the …

a family of hypotheses under test. This correction is considerably more powerful than earlier multiple testing … procedures such as the Bonferroni and Holm corrections, given that it takes into account the dependence structure of the test …

series. In the case of cross-sectionally correlated errors, using a threshold estimator of the average squares of pair …-wise error correlations a test is proposed and is shown to be valid even if N is much larger than T. Monte Carlo evidence show … that the proposed test works well in small samples. The test is then applied to all securities in the S&P 500 index with 60 …

This paper extends the cross sectionally augmented panel unit root test proposed byPesaran (2007) to the case of a …

series. In the case of cross-sectionally correlated errors, using a threshold estimator of the average squares of pair …-wise error correlations a test is proposed and is shown to be valid even if N is much larger than T. Monte Carlo evidence show … that the proposed test works well in small samples. The test is then applied to all securities in the S&P 500 index with 60 …

on an empirical likelihood ratio. The computations necessary for obtaining a test statistic also provide estimates of the …

This paper extends the cross sectionally augmented panel unit root test proposed by Pesaran (2007) to the case of a … time series in addition to the variable under consideration. Importantly, our test procedure only requires specification of … test are investigated by Monte Carlo experiments, which suggest that it controls well for size in almost all cases …