In panel surveys, some observation units drop out before the end of the observation period. This panel attrition should …

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 …

We propose a new pooled panel unit root test allowing for serial and contemporaneous correlation. The new test combines … Elliott, Rothenberg and Stock's (1996) local-to-unity transformation with a pooled panel ADF test. As initially advocated by O … simulations demonstrate significantly better finite sample power properties of the new test over a wide range of existing panel …