Wang, Shaoping; Wang, Peng; Yang, Jisheng; Li, Zinai - In: Journal of Econometrics 157 (2010) 1, pp. 101-109
This paper proposes a unit root test for panel data with cross-sectional dependence. The test generalizes the nonlinear IV unit root test of Chang (2002) to the case where there exist some common factors in panels. The main idea is to eliminate the cross-sectional dependence through the method...
