In this paper, we study the small sample properties of the panel data stationarity test of Hadri (2000). We find that the previously suggested moments, that are to be used when standardizing the panel data stationarity test, cause size distortions when samples are small and serial correlation in...

In this paper, we investigate the effects of cross-sectional disturbance correlation in a homogenous panel-data unit root test. As reported by other authors, the unit root test has incorrect size in the presence of cross-sectional correlation. We suggest that a previously known estimator can be...

Abstract: In this paper, we study the small sample properties of the panel data stationarity test of Hadri (2000). We find that the previously suggested moments, that are to be used when standardizing the panel data stationarity test, cause size distortions when samples are small and serial...