The Asymptotic Distribution of the CADF Unit Root Test in the Presence of Heterogeneous AR(p) Errors
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