Local Asymptotic Equivalence of the Bai and Ng (2004) and Moon and Perron (2004) Frameworks for Panel Unit Root Testing

Oliver Wichert, I. Gaia Becheri, Feike C. Drost +1

This paper considers unit-root tests in large n and large T heterogeneous panels with cross-sectional dependence generated by unobserved factors. We reconsider the two prevalent ap…