Score contribution per author:
α: calibrated so average coauthorship-adjusted count equals average raw count
The Cauchy estimator of an autoregressive root uses the sign of the first lag as instrumental variable. The resulting IV <italic>t</italic>-type statistic follows a standard normal limiting distribution under a unit root case even under unconditional heteroscedasticity, if the series to be tested has no deterministic trends. The standard normality of the Cauchy test is exploited to obtain a standard normal panel unit root test under cross-sectional dependence and time-varying volatility with an orthogonalization procedure. The article’s analysis of the joint <italic>N</italic>, <italic>T</italic> asymptotics of the test suggests that (1) <italic>N</italic> should be smaller than <italic>T</italic> and (2) its local power is competitive with other popular tests. To render the test applicable when <italic>N</italic> is comparable with, or larger than, <italic>T</italic>, shrinkage estimators of the involved covariance matrix are used. The finite-sample performance of the discussed procedures is found to be satisfactory.