Im, Kyung So; Pesaran, M. Hashem - 2004
This paper re-examines the panel unit root tests proposed by Chang (2002). She establishes asymptotic independence of … variable (NIV) panel unit root test is valid under general error cross correlations for any N (the cross section dimension) as … T (the time dimension of the panel) tends to infinity. We show that her claim is valid only if NlnT/square root of T to …