Kurozumi, Eiji; Yamazaki, Daisuke; Hadri, Kaddour - Institute of Economic Research, Hitotsubashi University - 2012
This paper proposes the use of covariate unit root tests and the exploitation of the information on the cross-sectional dependence when the panel data null hypothesis of a unit root is rejected or when N is relatively small in order to help the interpretation of the test results. In particular,...
