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  • Katsuto Tanaka (a1)

The present article discusses panel unit root tests for two classes of models. One is the moving average (MA) model and the other is the error components model. We conduct score type tests for these models, allowing for various types of regressors, and examine the cross-sectional effect explicitly by presenting an efficient way of computing limiting local powers. It is found that the existence of common regressors does not affect the asymptotic behavior of tests, although heterogeneous regressors do. We also derive the limiting power envelopes for some simple panel models, which shows that the score type panel tests are asymptotically efficient, unlike the time series case.

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*Address correspondence to Katsuto Tanaka, Faculty of Economics, Gakushuin University, Mejiro, Toshima-ku, Tokyo 171-8588, Japan; e-mail:
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I thank the editor Peter C.B. Phillips, the co-editor Guido Kuersteiner, and three anonymous referees for helpful comments, which greatly improved a previous version of the article.

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Econometric Theory
  • ISSN: 0266-4666
  • EISSN: 1469-4360
  • URL: /core/journals/econometric-theory
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