UNIT ROOT TESTS WITH PANEL DATA.
Consider the AR1 model
where the . This specification assumes individual specific means with . We know from Nickell (1981) that OLS estimates of (1.1) are biased for fixed T as N goes to infinity. The bias is given by,
. This specification assumes individual 
. We know from Nickell (1981) that OLS estimates of (1.1) are biased for fixed T as N goes to infinity.