Several stationarity tests in heterogeneous panel data models are proposed in this chapter. By allowing maximum degree of heterogeneity in the panel, two different ways of pooling information from independent tests, the group mean and the Fisher tests, are used to develop the panel stationarity...

To capture location shifts in the context of model selection, we propose selecting significant step indicators from a saturating set added to the union of all of the candidate variables. The null retention frequency and approximate non-centrality of a selection test are derived using a...