No title
The CADF test of Pesaran (A Simple Panel Unit Root Test in Presence of Cross-Section Dependence, Journal of Applied Econometrics 22, 265–312, 2007) are among the most popular univariate tests for cross-section correlated panels around. Yet, the existing asymptotic analysis of this test statistic is limited to a model in which the errors are assumed to follow a simple AR(1) structure with homogenou
