the nature of non-stationarity in the data. We refer to it as PANIC - a 'Panel Analysis of Non-stationarity in … Idiosyncratic and Common components'. PANIC consists of univariate and panel tests with a number of novel features. It can detect … permits the construction of valid panel tests even when cross-section correlation invalidates pooling of statistics …

panel cointegration tests in the presence of cross-unit relations are then presented to demonstrate the serious cost of …We show how the use of panel data methods such as those proposed in single equations by Kao (1999) and Pedroni (1999 … literature assumes that such relations, that tie the units of the panel together, are not present. Using empirical examples from …