PANEL UNIT ROOT TESTS WITH CROSS-SECTION DEPENDENCE: A FURTHER INVESTIGATION
利用PANIC残差构建两种新的面板单位根检验方法，发现用最小二乘去趋势时检验无效，而PANIC方法因趋势去除方式具有非平凡检验功效。
An effective way to control for cross-section correlation when conducting a panel unit root test is to remove the common factors from the data. However, there remain many ways to use the defactored residuals to construct a test. In this paper, we use the panel analysis of nonstationarity in idiosyncratic and common components (PANIC) residuals to form two new tests. One estimates the pooled autoregressive coefficient, and one simply uses a sample moment. We establish their large-sample properties using a joint limit theory. We find that when the pooled autoregressive root is estimated using data detrended by least squares, the tests have no power. This result holds regardless of how the data are defactored. All PANIC-based pooled tests have nontrivial power because of the way the linear trend is removed.