Hanck, Christoph - Institut für Wirtschafts- und Sozialstatistik, … - 2008
This paper proposes a new panel unit root test based on Simes' [Biometrika 1986, An Improved Bonferroni Procedure for … Multiple Tests of Significance] classical intersection test. The test is robust to general patterns of cross … tests. Unlike previously suggested tests, the new test allows to identify the units in the panel for which the alternative …