A number of panel unit root tests that allow for cross section dependence have been proposed in the literature, notably … asymptotically eliminate the cross dependence of the series before standard panel unit root tests are applied to the transformed … variety of models. It is shown that the cross sectionally augmented panel unit root tests have satisfactory size and power …

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 … addition the estimation of the number of factors as well as the factors themselves. Small sample properties of the proposed …

We propose a random effects panel data model with both spatially correlated error components and spatially lagged …

weak exogeneity in panel cointegration models. The test has a limiting Gumbel distribution that is obtained by first …

result is shown to hold for pure latent factor models as well as for panel regressions with latent factors. Small sample …

This paper presents results concerning the performance of both single equation and system panel cointegration tests and … cointegrating ranks varying from zero to two for fourteen different panel dimensions. The usual specifications of deterministic … components are considered. -- cross-sectional dependence ; estimator ; panel cointegration ; simulation study ; test …

dependence and random individual effects in a panel data regression model. It turns out that this LM statistic is the sum of two …

restrictions for standard GMM estimators in autoregressive panel data models. A comparison is made with recent test proposals based …

This paper studies subsampling hypothesis tests for panel data that may be nonstationary, cross-sectionally correlated … the tests without estimating nuisance parameters. The tests include panel unit root and cointegration tests as special … shown that subsampling provides asymptotic distributions that are equivalent to the asymptotic distributions of the panel …