This paper extends the cross sectionally augmented panel unit root test proposed by Pesaran (2007) to the case of a multifactor error structure. The basic idea is to exploit information regarding the m unobserved factors that are shared by k other time series in addition to the variable under consideration. Initially we develop a test assuming that m, the true number of factors is known, and sh...

T his paper is to examine the mean reverting properties of inflation rates for Iran’s 25 provinces over the period from 1990:4 to 2017:7. To the end, we use various conventional univariate linear and non-linear unit root tests, as well as quantile unit root test by Koenker and Xiao (2004). Results of conventional unit root tests indicate that the null hypothesis of the unit root test...

This study undertakes a systematic literature review on recent developments in unit root tests. We highlight popular tests developed since 2010 based the number of citations. observe from that most test is Narayan and Popp least quantile nonlinear test, mainly because it was only recently. The use popularity recently can be judged after 5 to 10 years.

We conduct a systematic comparison of the performance of four commonly used P value combination methods applied to panel unit root tests: the original Fisher test, the modified inverse normal method, Simes test, and the modified truncated product method TPM . Our simulation results show that under cross-section dependence the original Fisher test is severely oversized, but the other three tests...

The paper introduces a novel approach to testing for unit roots in panels. Following Chang and Park (2004), the approach takes a new contour that is drawn along the line given by the equi-squared-sum instead of the traditional one given by the equi-sample-size. As we show in the paper, the distributions of the unit root tests based on nonlinear IV t-ratios (which includes the Dickey-Fuller test...