Abstract: In this paper, we study the small sample properties of the panel data stationarity test of Hadri (2000). We … find that the previously suggested moments, that are to be used when standardizing the panel data stationarity test, cause … standardizing moments that are to be used in a panel data stationarity test when samples are small and serial correlation in the …

In this paper, we investigate the effects of cross-sectional disturbance correlation in a homogenous panel-data unit … performs well in small-sample homogenous panel-data unit root tests. The reduction in size distortion comes at small cost of …