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

This paper argues that typical applications of panel unit root tests should take possible nonstationarity in the volatility process of the innovations of the panel time series into account. Nonstationarity volatility arises for instance when there are structural breaks in the innovation...

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

This paper proposes a new testing approach for panel unit roots that is, unlike previously suggested tests, robust to nonstationarity in the volatility process of the innovations of the time series in the panel. Nonstationarity volatility arises for instance when there are structural breaks in...