Testing for Unit Roots in Small Panels with Short-run and Long-run Cross-sectional Dependencies

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Yoosoon Chang; Wonho Song;
(2009)

An IV approach, using as instruments non-linear transformations of the lagged levels, is explored to test for unit roots in panels with general dependency and heterogeneity across cross-sectional units. We allow not only for the cross-sectional dependencies of innovatio... View more
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