Unit root tests in panel data: Asymptotic and finite-sample properties

Citations of this article
Mendeley users who have this article in their library.
Get full text


We consider pooling cross-section time series data for testing the unit root hypothesis. The degree of persistence in individual regression error, the intercept and trend coefficient are allowed to vary freely across individuals. As both the cross-section and time series dimensions of the panel grow large, the pooled t-statistic has a limiting normal distribution that depends on the regression specification but is free from nuisance parameters. Monte Carlo simulations indicate that the asymptotic results provide a good approximation to the test statistics in panels of moderate size, and that the power of the panel-based unit root test is dramatically higher, compared to performing a separate unit root test for each individual time series. © 2002 Elsevier Science B.V. All rights reserved.




Levin, A., Lin, C. F., & Chu, C. S. J. (2002). Unit root tests in panel data: Asymptotic and finite-sample properties. Journal of Econometrics, 108(1), 1–24. https://doi.org/10.1016/S0304-4076(01)00098-7

Register to see more suggestions

Mendeley helps you to discover research relevant for your work.

Already have an account?

Save time finding and organizing research with Mendeley

Sign up for free