Chang, Yoosoon; Song, Wonho - In: Review of Economic Studies 76 (2009) 3, pp. 903-935
An IV approach, using as instruments non-linear transformations of the lagged levels, is explored to test for unit roots in panels with general dependency and heterogeneity across cross-sectional units. We allow not only for the cross-sectional dependencies of innovations, but also for the...
