The literature has been notably less definitive in distinguishing between finite sample studies of seasonal stationarity than in seasonal unit root tests. Although the use of seasonal stationarity and unit root tests is advised to determine correctly the most appropriate form of the trend in a seasonal time series, such a use is rarely noted in the relevant studies on this topic. Recently, the ...

A panel unit root test is derived based on a Lagrangian Multiplier for panels with a cross-section dependence modeled using factor models. The test statistic is shown to be different from square of test statistic of Pesaran (2007) even for a case of no constant and no trend, hence the test statistic is not simply a different calculation of the suggestion made in Pesaran (2007). Implementation o...

We consider the bootstrap method for the covariates augmented DickeyFuller (CADF) unit root test suggested in Hansen (1995) which uses related variables to improve the power of univariate unit root tests. It is shown that there are substantial power gains from including correlated covariates. The limit distribution of the CADF test, however, depends on the nuisance parameter that represents the...