This paper studies the performance of panel unit root tests when spatial effects are present that account for cross …-section correlation. Monte Carlo simulations show that there can be considerable size distortions in panel unit root tests when the true … specification exhibits spatial error correlation. These tests are applied to a panel data set on net real income from the 1000 …

unit root tests, spurious panel regressions and panel cointegration tests. In addition, it provides recent developments in … nonstationary panel data models / Alain Hecq, Franz C. Palm, Jean-Pierre Urbain -- The local power of some unit root tests for panel … data / J(c)·org Breitung -- On the estimation and inference of a cointegrated regression in panel data / Chihwa Kao, Min …

This paper provides an overview of topics in nonstationary panels: panel unit root tests, panel cointegration tests …, and estimation of panel cointegration models. In addition it surveys recent developments in dynamic panel data models …