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-k, where k is any finite...

This paper proposes a new Lagrange multiplier (LM) based unit root test for panel data allowing for heterogeneous structural breaks in both the intercept and slope of each cross-section unit in the panel. We note that panel unit root tests allowing for breaks in the slope will critically depend...

This paper proposes new unit root tests that are more powerful when the error term follows a non-normal distribution. The improved power is gained by utilizing the additional moment conditions embodied in non-normal errors. Specifi cally, we follow the work of Im and Schmidt (2008), using the...