A simple test for nonstationarity in mixed panels: A further investigation

The test of Ng (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 flexible asymptotic framework in which the number of time periods, T, can be either fixed or tending to infinity jointly with the number of cross-section units, N. Second, the test statistic is evaluated not only under the null hypothesis, but also under alternatives that can be either fixed or local.