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雷达卡
AComparative study of unit root tests with panel data and a new simple test（13）
G. S.Maddala and Shaowen Wu
(H. D.Thoreau: Walden)
Correlated errors and the bootstrap alternative
1) Recallthat the properties of all three tests are based on the assumption that theerror terms are not cross-correlated. When this assumption is violated thederived distributions for these test statistics are no longer valid.
2) Theyall suffer from nuisance parameter problems. More specifically, if there is cross-correlationin the data, as noted earlier, the distributions of the test statistics are notthe same as before and are not known.
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