Shin, Dong Wan; Park, Soo Jung; Oh, Man-Suk - In: Computational Statistics & Data Analysis 53 (2009) 4, pp. 1312-1327
A robust sign test is proposed for testing unit roots in cross-sectionally dependent panel data. Large sample Gaussian null asymptotics of the test are established under (fixed N, large T) and, for serially uncorrelated error cases, under (large N, fixed T), where N is the number of panel units...