Unit Root Test in Panel Data Basing on the Limiting Spectral Distribution of Large-Dimensional Random Matrix

With the development of Computer information technology, large-dimensional panel data models have been introduced into the econometric researches during the past three decades, in order to solve the more and more complex economic phenomenons. As we know, the one-dimensional time series has the across time feature, so the panel data does. Then, when we confront with the panel data, we must be sure it is stationary. That means we should test unit root before regressing in order to avoid spurious regression. This article provides a new unit root test method for panel data which is basing on the theory of the limiting spectral distribution of large-dimensional random matrix.