References
- Baltagi B. Econometric analysis of panel data. 4th ed. New York: John Wiley and Sons; 2008.
- Breitung J, Pesaran MH. Unit roots and cointegration in panels. In: Matyas L, Sevestre P, editors. The econometrics of panel data. Berlin, Heidelberg: Klüwer Academic Publishers; 2008. p. 279–322.
- Moon HR, Perron B, Phillips PCB. Incidental parameters and dynamic panel modeling. Forthcoming in Baltagi B, editor. Oxford Handbook on Panel Data. Oxford University Press; 2013.
- Bai J, Ng S. Panel unit root tests with cross-section dependence: a further investigation. Econometric Theory. 2010;26:1088–1114.
- Levin A. Lin C-F, James Chu C-S. Unit root tests in panel data: asymptotic and finite-sample properties. J Econometrics. 2002;108:1–24.
- Moon HR, Perron B. Testing for a unit root in panels with dynamic factors. J Econometrics. 2004;122:81–126.
- Moon HR, Perron B, Phillips PCB. Incidental trends and the power of panel unit root tests. J Econometrics. 2007;141:416–459.
- Westerlund J. Heteroscedasticity robust panel unit root tests. J Bus Econom Statist. 2014;32:112–135.
- Westerlund J. The power of PANIC. J Econometrics. 2015;185:495–509.
- Demetrescu M, Hanck C. Unit root testing in heteroscedastic panels using the cauchy estimator. J Bus Econom Statist. 2012;30:256–264.
- Westerlund J, Breitung J. Lessons from a decade of IPS and LLC. Econometric Rev. 2013;32:547–591.
- Gengenbach C, Palm FC, Urbain J-P. Panel unit root tests in the presence of cross-sectional dependencies: comparison and implications for modelling. Econometric Rev. 2009;29:111–145.
- Wagner M, Hlouskova J. The performance of panel unit root and stationarity tests: results from a large scale simulation study. Econometric Rev. 2006;25:85–116.
- Westerlund J, Larsson R. A note on the pooling of individual PANIC unit root tests. Econometric Theory. 2009;25:1851–1868.
- Harris RDF, Tzavalis E. Inference for unit roots in dynamic panels where the time dimension is fixed. J Econometrics. 1999;91:201–226.
- Kruiniger H. GMM estimation and inference in dynamic panel data models with persistent data. Econometric Theory. 2009;25:1348–1391.
- Anderson TW, Hsiao C. Estimation of dynamic models with error components. J Amer Statist Assoc. 1981;76:598–606.
- Hahn J, Moon HR. Reducing bias of MLE in a dynamic panel model. Econometric Theory. 2006;22:499–512.
- Hahn J, Kuersteiner G. Asymptotically unbiased inference for a dynamic panel model with fixed effects when both n and T are large. Econometrica. 2002;70:1639–1657.
- Im KS, Peseran MH, Shin Y. Testing for unit roots in heterogeneous panels. J Econometrics. 2003;115:53–74.
- De Blander R, Dhaene G. Unit root tests for panel data with AR(1) errors and small T. Econom J. 2013;15:101–124.
- Pesaran HM. A simple panel unit root test in the presence of cross-section dependence. J Appl Econometrics. 2007;22:265–312.
- Pesaran HM, Smith LV, Yamagata T. Panel unit root tests in the presence of a multifactor error structure. J Econometrics. 2013;175:94–115.
- Hadri K, Larsson R. Testing for stationarity in heterogeneous panel data where the time dimension is finite. Econom J. 2005;8:55–69.
- Phillips PCB, Moon HR. Linear regression limit theory for nonstationary panel data. Econometrica. 1999;67:1057–1111.