This paper proposes an LM test for the unit root hypothesis using panel data. The LM statistic based on the pooled likelihood function is obtained by standardizing the average of the LM statistic for individual time series. Under the null hypothesis, the statistic follows the standard normal...

Under normality, least squares is efficient. However, if the errors are not normal, we can gain efficiency from the assertion that higher moments do not depend on the regressors. In this paper, we show how the assumption that higher moments do not depend on the regressors can be exploited in a...

The usual cointegration tests often entail nuisance parameters that hinder precise inference. This problem is even more pronounced in a nonlinear threshold framework when stationary covariates are included. In this paper, we propose new threshold cointegration tests based on instrumental...

This paper proposes a new panel unit-root test based on the Lagrangian multiplier (LM) principle. We show that the asymptotic distribution of the new panel LM test is not affected by the presence of structural shifts. This result holds under a mild condition that "N"/"T" goes to;"k", where "k"...