Costantini, Mauro; Lupi, Claudio; Popp, Stephan - Dipartimento di Economia, Gestione, Società e … - 2007
In this paper we propose the extension of the covariate-augmented Dickey Fuller (CADF) test for unit roots developed by Hansen (1995} to the panel case. We show that the extension is viable and gives power gains with respect to the time series approach. Particular attention is paid to cross-unit...