The cross-section average (CA) augmentation approach of Pesaran (2007) and Pesaran et al. (2013), and the principal components-based panel analysis of non-stationarity in idiosyncratic and common components (PANIC) of Bai and Ng (2004, 2010) are among the most popular “second-generation”...

This paper proposes a new panel unit root test based on the generalized method of moments approach for panels with a small number of time periods and a large number of cross-section units, N. In the model that we consider the deterministic trend function is essentially unrestricted and the...

In spite of the increased use of factor-augmented regressions in recent years, little is known regarding the relative merits of the two main approaches to estimation and inference, namely, the cross-sectional average and principal component estimators. By providing a formal comparison of the...

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...

In this article, we propose a new estimator of panel data models with interactive fixed effects and multiple structural breaks that is suitable when the number of time periods, T, is fixed and only the number of cross-sectional units, N, is large. This is done by viewing the determination of the...

In a recent study, Westerlund (Empir Econ 37:517–531, <CitationRef CitationID="CR37">2009</CitationRef>) shows that the performance of the popular LLC (Levin et al., J Econ 108:1–24, <CitationRef CitationID="CR22">2002</CitationRef>) panel unit root test depends critically on the choice of lag truncation used when correcting for serial correlation, and that it is only when this...</citationref></citationref>