Combining p-values in non-stationary panels

This article summarizes and discusses the existing p-value pooling approaches and compares their performances in the context of panel unit root tests. When the data are free of contemporaneous correlation, most tests achieve very high power. However, in the presence of contemporaneous correlation, most tests suffer from moderate to severe size distortions. When the panel contains both stationary and nonstationary series, the power of tests increases as the cross-sectional units grows. Among all the tests under study, the mean-of-Z test yields the highest power for the benchmark model, while the Fisher test is most robust for complicated model structures.