Pedroni, Peter L.; Vogelsang, Timothy J.; Wagner, Martin; … - In: Journal of Econometrics 185 (2015) 2, pp. 378-391
-sectional dependence and dynamic heterogeneity among the units of the panel, provided simply that a joint functional central limit theorem … holds for the panel of differenced series. We provide a discussion of the relationships between our setting and the settings … for which first- and second generation panel unit root tests are designed. In Monte Carlo simulations we illustrate the …