Pedroni, Peter; Vogelsang, Timothy J.; Wagner, Martin; … - Department of Economics and Finance Research and … - 2011
unusual in that they can accommodate very general forms of both serial and cross-sectional dependence, including cross …-unit cointegration, without the need to specify the form of dependence or estimate nuisance parameters associated with the dependence …. The tests retain high power in small samples, and in contrast to other tests that accommodate cross-sectional dependence …