The first generation panel unit root tests proposed, for example, by Levin, Lin and
Chu (2002) and Im, Pesaran and Shin (2003) allowed for parameter heterogeneity but
assumed errors were cross sectionally independent. More recently, panel unit root tests
that allow for error cross section dependence have been proposed by Bai and Ng (2004),
Moon and Perron (2004) and Pesaran (2006b)