Pesaran, M. Hashem; Vanessa Smith, L.; Yamagata, Takashi - In: Journal of Econometrics 175 (2013) 2, pp. 94-115
This paper extends the cross-sectionally augmented panel unit root test (CIPS) proposed by Pesaran (2007) to the case of a multifactor error structure, and proposes a new panel unit root test based on a simple average of cross-sectionally augmented Sargan–Bhargava statistics (CSB). The basic...
