A simple panel stationarity test in the presence of serial correlation and a common factor

Kaddour Hadri () and Eiji Kurozumi ()

Economics Letters, 2012, vol. 115, issue 1, 31-34

Abstract: This paper develops a simple test à la Pesaran (2007) for the null hypothesis of stationarity in heterogeneous panel data with cross-sectional dependence in the form of a common factor in the disturbance. We also allow for serial correlation.

Keywords: Panel data; Stationarity; KPSS test; Cross-sectional dependence; Common factor (search for similar items in EconPapers)
JEL-codes: C12 C33 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (54)

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Related works:
Working Paper: A Simple Panel Stationarity Test in the Presence of Serial Correlation and a Common Factor (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:115:y:2012:i:1:p:31-34

DOI: 10.1016/j.econlet.2011.11.036

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