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 …

degrees, the dependence that might prevail across the different units in the panel. In the analysis of cointegration, the …

The present paper studies the panel data auto regressive (PAR) time series model for testing the unit root hypothesis …

Using recently developed panel unit root and panel cointegration tests and the Fully-Modified OLS (FMOLS) methodology … assessing the impact of remittances on growth in Latin American and the Caribbean. Panel unit root tests suggests that several … of the macro variables included in the model exhibit unit roots, yet, at the same time, Pedroni's panel cointegration …

provided by the combination of the time-series and cross-sectional data and the subsequent power advantages of panel data unit …). The joint unit root null hypothesis cannot be rejected for the whole panel, however, after having dropped the least likely … stationary series from the panel, the Im, Pesaran and Shin (1997) and Maddala and Wu (1999) tests can reject the null for the …

This paper re-examines the panel unit root tests proposed by Chang (2002). She establishes asymptotic independence of … variable (NIV) panel unit root test is valid under general error cross correlations for any N (the cross section dimension) as … T (the time dimension of the panel) tends to infinity. We show that her claim is valid only if NlnT/square root of T to …

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 …