In this paper, we suggest a similar unit root test statistic for dynamic panel data with fixed effects. The test is based on the LM, or score, principle and is derived under the assumption that the time dimension of the panel is fixed, which is typical in many panel data studies. It is shown...

This paper proposes a similar unit root testing procedure for heterogeneous dynamic panel data, based on the score principle, assuming that the time dimension of the panel is fixed. It is shown that the limiting distribution of the test is standard normal. The similarity with regard to the...