On the Use of GLS Demeaning in Panel Unit Root Testing
One of the most well-known facts about unit root testing in time series is that the Dickey--Fuller (DF) test based on OLS demeaned data suffers from low power, and that the use of GLS demeaning can lead to substantial power gains. Of course, this development has not gone unnoticed in the panel unit root literature. However, while the potential of using GLS demeaning is widely recognized, oddly eno
