A simple panel stationarity test in the presence of serial correlation and a common factor |
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| Authors: | Kaddour Hadri Eiji Kurozumi |
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| Affiliation: | a Queen’s University Management School, Queen’s University, Belfast, UKb Department of Economics, Hitotsubashi University, Japan |
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| 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. |
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| Keywords: | C12 C33 |
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