Gengenbach, Christian; Palm, Franz C.; Urbain, Jean-Pierre - In: Econometric Reviews 29 (2010) 2, pp. 111-145
Several panel unit root tests that account for cross-section dependence using a common factor structure have been proposed in the literature recently. Pesaran's (2007) cross-sectionally augmented unit root tests are designed for cases where cross-sectional dependence is due to a single factor....