Maddala and Wu (1999) proposed a simple panel unit test using a Fisher type test. We propose using Percival and Walden (2006) approximate maximum likelihood estimator of the fractional integration order with a Fisher type test to create a simple panel fractional integration order test. By combining the estimator and the test with a wavestrap method to obtain critical values, we allow for cross-...

This article proposes a simple estimator that is consistent for the fraction of a panel that has an autoregressive unit root. Given such an estimate, θ̂ , we can test the null hypothesis that θ = θ0 for any value of θ0 ∈ (0,1]. The test is asymptotically standard normal and is valid whether or not the panel is crosssectionally correlated. The main insight is that in a panel in which some units a...

This paper proposes a test for the null of sphericity in a …xed e¤ects panel data model. It uses the Random Matrix Theory based approach of Ledoit and Wolf (2002) to test for the null of sphericity of the error terms in a …xed e¤ects panel model with a large number of cross-sectional units and time series observations. Since the errors are unobservable, the residuals from the …xed e¤ects regres...

We combined recent developments in univariate and multivariate unit root testing in order to construct a more-powerful panel unit root test. We extended the GLS-detrending procedure of Elliott, Rothenberg, and Stock (1996) to a panel Augmented Dickey-Fuller test. The finite sample power properties of the new test demonstrate a very large gain when compared to existing tests, especially for smal...

A new panel cointegrating rank test which allows for a linear time trend with breaks and cross-sectional dependence is proposed. The correlation-augmented inverse normal (CAIN) based on modification of the method combines p-values individual likelihood-ratio trace statistics by assuming that number break points are known. Monte Carlo study demonstrates its robustness to superior size power prop...