Shin, Dong Wan; Jung, Yoon Young; Oh, Man-Suk - In: Journal of Applied Statistics 35 (2008) 11, pp. 1305-1321
This paper proposes various double unit root tests for cross-sectionally dependent panel data. The cross-sectional correlation is handled by the projection method [P.C.B. Phillips and D. Sul, Dynamic panel estimation and homogeneity testing under cross section dependence, Econom. J. 6 (2003),...