【摘要】Choi(2001) proposed the combining p-value tests for panel data.This paper modify the test to allow for the cross-sectional dependence with autoregressive errors and replace Choi's DF-GLS with ADF when DGP include an intercept or/and linear time trend.The Monte-Carlo simulation shows that the empirical size of the extended tests is very close to the nominal size of the asymptotic distributions,the power of our tests is very high,such simulation results show that our modification is feasible.Appling our tests to Chinese securities market gives the results that dependent panel price indexes of the markets is a panel unit root process,this conclusion implies that the Chinese securities market is general weak efficiency.