This paper specifies a regression model describing cointegrating relations between variables at the individual level. The models considered allow for homogeneous cointegration and heterogeneous cointegration. In both cases correlation between the regressors and the regression error can occur...

The objective of the paper is to investigate and compare the performance of some of the unit root tests in micropanels, which have been suggested in the literature. The framework is a first-order autoregressive panel data model allowing for heterogeneity in the intercept but not in the...