Silva, S. de; Hadri, K.; Tremayne, A. R. - In: Econometrics Journal 12 (2009) 2, pp. 340-366
This paper examines the finite sample properties of three testing regimes for the null hypothesis of a panel unit root against stationary alternatives in the presence of cross-sectional correlation. The regimes of Bai and Ng (2004), Moon and Perron (2004) and Pesaran (2007) are assessed in the...