This paper addresses the concept of multicointegration in a panel data framework and builds upon the panel data cointegration procedures developed in Pedroni ["Econometric Theory" (2004), Vol. 20, pp. 597-625]. When individuals are either cross-section independent, or cross-section dependence...

Dickey and Fuller ["Econometrica" (1981) Vol. 49, pp. 1057-1072] suggested unit-root tests for an autoregressive model with a linear trend conditional on an initial observation. T"Power of tests for unit roots in the presence of a linear trend"ightly different model with a random initial value...