Journal
ECONOMICS LETTERS
Volume 115, Issue 1, Pages 31-34Publisher
ELSEVIER SCIENCE SA
DOI: 10.1016/j.econlet.2011.11.036
Keywords
Panel data; Stationarity; KPSS test; Cross-sectional dependence; Common factor
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Funding
- Grants-in-Aid for Scientific Research [23243038] Funding Source: KAKEN
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This paper develops a simple test a 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. (C) 2011 Elsevier B.V. All rights reserved.
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