此篇论文发表在2016年Oxford Bulletin of Economics and Statistics的一篇文章。作者提出一个基于辅助变量的单位根检验方法。

Abstract

This paper proposes an IV-based panel unit root test that is general enough to accommodate general error serial and cross-section dependence, and a potentially nonlinear deterministic trend function. These allowances make the new test one of the most general around. It is also very simple to implement. Indeed, the IV statistic is asymptotically invariant to not only to all nuisance parameters characterizing the dependence of the errors and the true trend function, but also the deterministic specification of the fitted test regression.