Westerlund, JoakimNarayan, Paresh2009-09-112009-09-112009-09-111403-2465http://hdl.handle.net/2077/21049In search for more efficient unit root tests in the presence of GARCH, some researchers have recently turned their attention to estimation by maximum likelihood. However, although theoretically appealing, the new test is difficult to implement, which has made it quite uncommon in the empirical literature. The current paper offers a panel data based solution to this problem.engPanel DataUnit Root TestsGARCHText