This paper re-examines the panel unit root tests proposed by Chang (2002). She establishes asymptotic independence of … variable (NIV) panel unit root test is valid under general error cross correlations for any N (the cross section dimension) as … T (the time dimension of the panel) tends to infinity. We show that her claim is valid only if NlnT/square root of T to …

A number of panel unit root tests that allow for cross section dependence have been proposed in the literature, notably … asymptotically eliminate the cross dependence of the series before standard panel unit root tests are applied to the transformed … variety of models. It is shown that the cross sectionally augmented panel unit root tests have satisfactory size and power …

degrees, the dependence that might prevail across the different units in the panel. In the analysis of cointegration, the …

This paper extends the cross sectionally augmented panel unit root test proposed by Pesaran (2007) to the case of a … the maximum number of factors, in contrast to other panel unit root tests based on principal components that require in …

This paper extends the cross sectionally augmented panel unit root test proposed by Pesaran (2007) to the case of a … the maximum number of factors, in contrast to other panel unit root tests based on principal components that require in …

This paper extends the transformed maximum likelihood approach for estimation of dynamic panel data models by Hsiao …

This paper develops a model for dynamic binary choice panel data that allows for unobserved heterogeneity to be … finite sample performance of our GMM estimators. -- dynamic discrete choice ; fixed effects ; panel data ; initial values …