A simple nonstationary-volatility robust panel unit root test

We propose an IV panel unit root test robust to nonstationary error volatility. Its finite-sample performance is convincing even for many units and strong cross-correlation. An application to GDP prices illustrates the inferential impact of nonstationary volatility.

► We propose an IV panel unit root test robust to nonstationary error volatility. ► Its finite-sample performance is good even for many units and strong correlation. ► An application to GDP prices illustrates the impact of nonstationary volatility.