This paper points to some of the facts that have emerged from 20 years of research into the analysis of unit roots in panel data, an area that has been heavily influenced by two studies, IPS (Im, Pesaran, and Shin, 2003) and LLC (Levin et al., 2002). Some of these facts are known, others are...

This paper points to some of the common myths and facts that have emerged from 20 years of research into the analysis of unit roots in panel data. Some of these are wellknown, others are not. But they all have in common that if ignored the effects can be very serious. This is demonstrated using...