Abstract
We propose an approach to investigate the unit root properties of individual units in a time series panel or large multivariate time series, based on testing user‐defined increasing proportions of hypothesized I(0) units sequentially. Asymptotically valid critical values are obtained using the block bootstrap. This sequential approach has an advantage over multiple testing approaches as it can exploit the (cross‐sectional) dimension of the system, which the multiple testing approaches cannot do effectively. A simulation study and an empirical application are conducted to analyse the relative performance of the approach in comparison with multiple testing approaches. These demonstrate the usefulness of our method, in particular in systems with a relatively small time dimension.
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