Im, K S., Pesaran, M. H., Shin, Y.

Reflections on "Testing for Unit Roots in Heterogeneous Panels"

CWPE2310

Abstract: This article is our personal perspective on the IPS test and the subsequent developments of unit root and cointegration tests in dynamic panels with and without cross-section dependence. In this note, we discuss the main idea behind the test and the publication process that led to Im, Pesaran and Shin (2003).

Keywords: Dickey and Fuller statistic, stationarity, panel unit root tests, prevalence of unit roots.

JEL Codes: C01 C23

Author links: M. Hashem Pesaran  

PDF: https://www.econ.cam.ac.uk/research-files/repec/cam/pdf/cwpe2310.pdf

Open Access Link: https://doi.org/10.17863/CAM.93379

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