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A Comparative study of unit root tests with panel data and a new simple test（1）
G. S. Maddala and Shaowen Wu
(H. D. Thoreau: Walden)
单位根检验与面板数据的比较研究和一种新的简单检验
1， The use of panel data unit root tests has becomevery popular among empirical researchers with access to a panel data set.
2， generally accepted argument that the commonly used unit root testslike the Dickey±Fuller (DF), augmented Dickey±Fuller (ADF) and Phillips±Perron(PP) tests lack power in distinguishing the unit root null from stationary alternatives,and that using panel data unit root tests is one way of increasing the power ofunit root tests based on a single time series.
3， The panel unit root tests may not be meaningful because differentnull hypotheses are being tested in each case. For instance, consider thesimplified model
4， Suppose we are interested in testing r1 . 0 vs. r1 ,0, we apply asingle equation unit root for the first time series. The panel data unit roottest tests a different hypothesis:
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