Hadri, Kaddour; Kurozumi, Eiji - Institute of Economic Research, Hitotsubashi University - 2008
This paper develops a simple test for the null hypothesis of stationarity in heterogeneous panel data with cross-sectional dependence in the form of a common factor in the disturbance. We do not estimate the common factor but mop-up its effect by employing the same method as the one proposed in...