TESTING FOR UNIT ROOTS IN PANELS WITH A FACTOR STRUCTURE

By JÃ¶rg Breitung, Samarjit Das. Econometric Theory, 2007

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Cointegration Testing in Panels with Common Factors (2006, methodology): “Test for unit-roots in both the factors and the Blackwell Publishing Ltd 2006 idiosyncratic components using the Bai and Ng (2004) or the Breitung and Das (2005) approach.”
Panel Unit Root Tests in the Presence of a Multifactor Error Structure (2013, unknown): “We would like to thank Serena Ng for sharing her codes with us for the calculation of the Bai and Ng (2007) statistics, Joachim Westerlund for useful comments on an earlier version of the paper, as well as participants at the conference in honour of Paul Newbold at the Univeristy of Nottingham,…”
PANEL UNIT ROOT TESTS WITH CROSS-SECTION DEPENDENCE: A FURTHER INVESTIGATION (2009, methodology): “But the method still depends on whether the factors and/or the errors are nonstationary; see Breitung and Das (2008).”
Panel Unit Root Tests under Cross-sectional Dependence: An Overview (2009, background): “39 This topic is well analysed also by Breitung and Das [11].”
Panel cointegration with global stochastic trends (2008, background): “2 See, for example, Phillips and Moon (1999) and Kao (1999).”