Abstract
One of the single most cited studies within the field of nonstationary panel data analysis is that of LLC (Levin et al. in J Econom 98:1–24, 2002), in which the authors propose a test for a common unit root in the panel. Using both theoretical arguments and simulation evidence, we show that this test can be misleading unless it is based on the same bandwidth selection rule used by LLC.
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Westerlund, J. A note on the use of the LLC panel unit root test. Empir Econ 37, 517–531 (2009). https://doi.org/10.1007/s00181-008-0244-8
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DOI: https://doi.org/10.1007/s00181-008-0244-8