This paper considers testing for unit roots in Gaussian panels with crosssectional dependence generated by common factors. Within our setup we can analyze restricted versions of the two prevalent approaches in the literature, that of Moon & Perron (2004), who specify a factor model for the...

This paper considers unit-root tests in large n and large T heterogeneous panels with cross-sectional dependence generated by unobserved factors. We reconsider the two prevalent approaches in the literature, that of Moon and Perron (2004) and the PANIC setup proposed in Bai and Ng (2004). While...

We derive the power envelope for panel unit root tests where heterogeneous alternatives are modeled via zero-expectation random perturbations. We obtain an asymptotically UMP test and discuss how to proceed when one is agnostic about the expectation of the perturbations

This paper considers integer-valued autoregressive processes where the autoregression parameter is close to unity. We consider the asymptotics of this 'near unit root' situation. The local asymptotic structure of the likelihood ratios of the model is obtained, showing that the limit experiment...

This paper considers panels with cross-sectional dependence generated by dynamic common factors as introduced by Bai and Ng (2004, 2010) and known as the PANIC framework. Using limit experiment theory, we derive the (asymptotic) power envelope for testing for unit roots in the PANIC framework....