ASYMPTOTICALLY UNIFORMLY MOST POWERFUL TESTS FOR UNIT ROOTS IN GAUSSIAN PANELS WITH CROSS-SECTIONAL DEPENDENCE GENERATED BY COMMON FACTORS
共同因子生成横截面依赖的高斯面板中渐近一致最强的单位根检验
This paper considers testing for unit roots in Gaussian panels with cross-sectional dependence generated by common factors. Within our setup, we can analyze restricted versions of the two prevalent approaches in the literature, that of Moon and Perron (2004, Journal of Econometrics 122, 81–126), who specify a factor model for the innovations, and the PANIC setup proposed in Bai and Ng (2004, Econometrica 72, 1127–1177), who test common factors and idiosyncratic deviations…