Abstract
Problems arise in testing the stationarity of the panel in the presence of cross sectional dependence and outliers. The currently available panel unit root tests are very much affected by the presence of outliers. As such, this article introduces an alternative test which is robust to outliers and cross sectional dependence. The performance and robustness of the proposed test is discussed and comparisons are made to the existing tests via simulation studies.
DOI
10.22237/jmasm/1446351180
Included in
Applied Statistics Commons, Social and Behavioral Sciences Commons, Statistical Theory Commons
