This work concerns the theory of limiting experiments and its use in econometrics. In Chapter 2, we consider jump … 4 provides the power envelope for tests of the unit root hypothesis in Gaussian panel data models with cross …

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 … enjoyed by many industrialized countries, known as the "Great Moderation". It also proposes a new testing approach for panel …

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 … enjoyed by many industrialized countries, known as the `Great Moderation.' It also proposes a new testing approach for panel …

mainly employed traditional unit-root tests, our research stands out for its use of novel panel stationarity tests that …