ŠT—v

In the presentation I first review the lag augmented (LA) method in Toda and Yamamoto (1995). Specifically, I talk about its basic concept and some related recent developments of the LA method. I also discuss on some related issues concernig with the statistical inference in non-stationary VAR processes. Next, I present an approach to the panel unit root test as an application of the LA method, and shows some preliminary small sample evidence.