restristions for standard GMM estimators in autoregressive panel data models. A comparison is made with recent test proposals based …

This paper proposes a new panel unit root test based on the generalized method of moments approach for panels with a …

. It shows how a panel of cointegrated VARs can be transformed in a set of independent individual models. The likelihood … function of the transformed panel is the sum of the likelihood functions of the individual Cointegrated VARs (CVAR) models. A …. From these empirical distributions two panel trace test statistics are constructed. The satisfying small sample properties …

This paper develops a simple test à la Pesaran (2007) for the null hypothesis of stationarity in heterogeneous panel …

The current paper considers the asymptotic local power of second-generation panel unit root tests that are robust to …

This paper analyzes the properties of panel unit root tests based on recursively detrended data. The analysis is …

run, using two recent powerful panel data stationarity tests accounting for cross-sectional dependence and a structural …

, using both time series and panel data. A first battery of tests establishes that the observed differences are statistically …