A simple panel unit root test in the presence of cross-section dependence

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Evolution of Forecast Disagreement in a Bayesian Learning Model (2008, methodology): “However, as noted by Sims (2003) and Williams (2003), the sticky-information model may not characterize 1 See Savage (1954) and Aumann (1976) for theoretical foundations for the hypothesis.”
Testing for Panel Cointegration Using Common Correlated Effects Estimators (2017, methodology): “1 , the cointegration test t Ǫ i;0 is defined by QyPi;t and Qy P t , which are the same elements that define the limiting distributions in Pesaran (2007) – see his Theorem 3.2 for the CADFif statistic when r D 1 – and Pesaran et al. (2013) – see their Theorem 2.1 when r > 1.5 Although the limiting…”