This paper uses a decomposition of the data into common and idiosyncratic components to develop procedures that test if these components satisfy the null hypothesis of stationarity. The decomposition also allows us to construct pooled tests that satisfy the cross-section independence assumption....

We consider issues related to the order of an autoregression selected using information criteria. We study the sensitivity of the estimated order to i) whether the effective number of observations is held fixed when estimating models of different order, ii) whether the estimate of the variance...