A Simple Test for Nonstationarity in Mixed Panels: A Further Investigation
The test of Ng (A simple test for nonstationarity in mixed panels, Journal of Business & Economic Statistics 26, 113–126, 2008) is one of the few that enables general inference regarding the proportion of non-stationary units in panel data. The current paper furthers the investigation of Ng (2008) in two directions. First, the existing sequential limit analysis is generalized to a very flexibl