Hi,
I estimated a seemingly unrelated regression on a six-country panel for 1975-
2005. As I suspect some non-stationarity I included a time trend and would like
to carry out a panel unit root test on the residuals. But because my panel has
cross-section dependence, classical panel unit root tests like Im, Pesaran and
Shin (1997) will have serious size distortions. Has anyone ever implemented one
of the new panel unit root tests that allow for cross-section dependence in
STATA?
Thanks a lot!
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