A generalized nonlinear IV unit root test for panel data with cross-sectional dependence
允许截面依赖的面板数据广义非线性工具变量单位根检验
This paper proposes a unit root test for panel data with cross-sectional dependence. The test generalizes the nonlinear IV unit root test of Chang (2002) to the case where there exist some common factors in panels. The main idea is to eliminate the cross-sectional dependence through the method of principal components as in Bai and Ng (2004) and then apply Chang's test to the treated data. Under certain conditions, the proposed test is consistent and has a standard normal…