PANEL UNIT ROOT TESTS WITH CROSS-SECTION DEPENDENCE: A FURTHER INVESTIGATION

By Jushan Bai, Serena Ng. Econometric Theory, 2009

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Panel Unit Root Tests in the Presence of a Multifactor Error Structure (2013, methodology): “The Pb and PMSB tests are the Bai and Ng (2007) pooled panel unit root tests for the idiosyncratic errors.”
Non-Stationary Dynamic Factor Models for Large Datasets (2016, background): “(2013) and found empirically in a stationary setting by Boivin and Ng (2006), Bai and Ng (2008), and Luciani (2014).”
Estimation of fractionally integrated panels with fixed effects and cross-section dependence (2015, unknown): “Furthermore, Bai and Ng (2004) and Bai (2010) propose unit-root testing procedures when idiosyncratic shocks and the common factor are both I ( 1 ) .”
Greenhouse gas emissions, energy consumption and economic growth: A panel cointegration analysis from Canadian industrial sector perspective (2012, background): “As has been documented in the literature, failure to adequately account for the presence of crosssection dependence in panel data study could lead to serious bias problem, see for instance O'Connell (1998), Andrews (2005), Pesaran (2006) and Bai and Ng (2010).”
The Local Power of the CADF and CIPS Panel Unit Root Tests (2016, background): “This is unlike most, if not all, other second-generation approaches where the defactored data are (asymptotically) cross-section independent (see, for example, Bai and Ng, 2004; 2010; Moon and Perron, 2004; Westerlund and Larsson, 2012).”