This paper suggests a combination procedure to exploit the imperfect correlation of cointegration tests to develop a more powerful meta test. To exemplify, we combine Engle and Granger (1987) and Johansen (1988) tests. Either of these underlying tests can be more powerful than the other one...

This paper suggests a combination procedure to exploit the imperfect correlation of cointegration tests to develop a more powerful meta test. To exemplify, we combine Engle and Granger (1987) and Johansen (1988) tests. Either of these underlying tests can be more powerful than the other one...

This paper proposes a new panel unit root test based on Simes' [Biometrika 1986, An Improved Bonferroni Procedure for Multiple Tests of Significanceʺ] classical intersection test. The test is robust to general patterns of cross-sectional dependence and yet straightforward to implement, only...