A Simple Panel‐CADF Test for Unit Roots*
将协变量增强迪基-富勒检验扩展到面板数据，通过P值组合方法处理截面依赖，相比其他面板方法具有更好的检验规模和功效，并用国际数据验证购买力平价假说。
Abstract In this paper, we propose a simple extension to the panel case of the covariate‐augmented Dickey–Fuller (CADF) test for unit roots developed in Hansen (1995) . The panel test we propose is based on a P values combination approach that takes into account cross‐section dependence. We show that the test has good size properties and gives power gains with respect to other popular panel approaches. An empirical application is carried out for illustration purposes on international data to test the purchasing power parity (PPP) hypothesis.