We investigate the influence of residual serial correlation and of the time dimension on statistical inference for a unit root in dynamic longitudinal data, known as panel data in econometrics. To this end, we introduce two test statistics based on method of moments estimators. The first is...

In this paper we introduce fixed-T unit root tests for panel data models with serially correlated and heteroscedastic disturbance terms. The tests are based on pooled least squares estimators for the autoregressive coefficient of the AR(1) panel model adjusted for their inconsistency. The...

In this paper, a Bayesian approach is suggested to compare unit root models with stationary models when both the level and the error variance are subject to structural changes (known as breaks) of an unknown date. The paper utilizes analytic and Monte Carlo integration techniques for calculating...