Standard panel unit root tests (PURTs) are not robust to breaks in innovation variances. Consequently, recent papers have proposed PURTs that are pivotal in the presence of volatility shifts. The applicability of these tests, however, has been restricted to cases where the data contains only an...

The distinction between transitory or permanent shocks to energy consumption is important not only for researchers but also for policymakers, financial investors, and business owners. This paper tests the stationarity of the electricity consumption of five main sectors (residential, public...