A simple panel stationarity test in the presence of serial correlation and a common factor

This paper develops a simple test à la Pesaran (2007) for the null hypothesis of stationarity in heterogeneous panel data with cross-sectional dependence in the form of a common factor in the disturbance. We also allow for serial correlation.

► In this paper, we develop a simple panel stationarity test. ► The test allows for serial correlation and cross-sectional dependence in the form of a common factor. ► Our test performs well in many instances.