A simple panel unit root test in the presence of cross‐section dependence
提出一种简单的面板单位根检验方法，通过在标准ADF回归中加入截面平均的滞后水平和一阶差分来处理截面依赖，并给出了渐近分布和临界值。蒙特卡洛实验和实际数据应用验证了其有效性。
Abstract A number of panel unit root tests that allow for cross‐section dependence have been proposed in the literature that use orthogonalization type procedures to asymptotically eliminate the cross‐dependence of the series before standard panel unit root tests are applied to the transformed series. In this paper we propose a simple alternative where the standard augmented Dickey–Fuller (ADF) regressions are augmented with the cross‐section averages of lagged levels and first‐differences of the individual series. New asymptotic results are obtained both for the individual cross‐sectionally augmented ADF (CADF) statistics and for their simple averages. It is shown that the individual CADF statistics are asymptotically similar and do not depend on the factor loadings. The limit distribution of the average CADF statistic is shown to exist and its critical values are tabulated. Small sample properties of the proposed test are investigated by Monte Carlo experiments. The proposed test is applied to a panel of 17 OECD real exchange rate series as well as to log real earnings of households in the PSID data. Copyright © 2007 John Wiley & Sons, Ltd.