The panel data modeling has received a great attention in econometric research recently. This is due to the availability of data sources and the interest to study cross sections of individuals observed over time. However, the problems may arise in modeling the panel in the presence of cross sectional dependence and outliers. Even though there are few methods that take into consideration the presence of cross sectional dependence in the panel, the methods may provide inconsistent parameter estimates and inferences when outliers occur in the panel. As such, an alternative method that is robust to outliers and cross sectional dependence is introduced in this paper. The properties and construction of the confidence interval for the parameter estimates are also considered in this paper. The robustness of the procedure is investigated and comparisons are made to the existing method via simulation studies. Our results have shown that robust approach is able to produce an accurate and reliable parameter estimates under the condition considered. � 2014 AIP Publishing LLC.

Problems arise in testing the stationarity of the panel in the presence of cross sectional dependence and outliers. The currently available panel unit root tests are very much affected by the presence of outliers. As such, this article introduces an alternative test which is robust to outliers and cross sectional dependence. The performance and robustness of the proposed test is discussed and comparisons are made to the existing tests via simulation studies. 2015 JMASM, Inc.