presence of incidental trends in panel unit root test setting is ubiquitous. …

In this paper we propose a simple extension to the panel case of the covariate-augmented Dickey Fuller (CADF) test for … with respect to other popular panel approaches. A procedure to compute the asymptotic p-values of Hansen’s CADF test is … hypothesis and the presence of a unit root in international industrial production indices. -- unit root ; panel data …

This study develops new rank tests for panels that include panel unit root tests as a special case. The tests are …

We derive the power envelope for panel unit root tests where heterogeneous alternatives are modeled via zero …

Applying the new panel unit root test developed in this paper, we can overcome the pitfalls of old-fashioned panel unit …-Fuller and traditional panel data unit root test, however, when using the new test developed in this paper we find strong …

Missing data or missing values are a common phenomenon in applied panel data research and of great interest for panel … data unit root testing. The standard approach in the literature is to balance the panel by removing units and/or trimming a … common time period for all units. However, this approach can be costly in terms of lost information. Instead, existing panel …

We consider large n, T panel data models with fixed effects, persistent common factors allowing for cross …

This paper extends the cross sectionally augmented panel unit root test proposed by Pesaran (2007) to the case of a … the maximum number of factors, in contrast to other panel unit root tests based on principal components that require in …