Heteroscedasticity Robust Panel Unit Root Tests
提出新的面板单位根检验方法，允许误差存在序列相关、截面相关和无条件异方差，检验统计量简单易行且极限分布不含冗余参数，蒙特卡洛模拟显示小样本表现良好。
This article proposes new unit root tests for panels where the errors may be not only serial and/or cross-correlated, but also unconditionally heteroscedastic. Despite their generality, the test statistics are shown to be very simple to implement, requiring only minimal corrections and still the limiting distributions under the null hypothesis are completely free from nuisance parameters. Monte Carlo evidence is also provided to suggest that the new tests perform well in small samples, also when compared to some of the existing tests. Supplementary materials for this article are available online.