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 … practice. -- Panel unit root tests ; cross section dependence ; multi-factor residual structure ; Fisher inflation parity …

The presence of cross-sectionally correlated error terms invalidates much inferential theory of panel data models … for stationary panel regressions with multifactor error structure. This paper extends this work and examines the important …

an application to the estimation of panel data models with an infinite number of weak factors and a finite number of …