A simple panel unit root test in the presence of cross-section dependence
نویسندگان
چکیده
منابع مشابه
A Simple Panel Unit Root Test in the Presence of Cross Section Dependence∗
A number of panel unit root tests that allow for cross section dependence have been proposed in the literature that use orthogonalization type procedures to asymptotically eliminate the cross dependence of the series before standard panel unit root tests are applied to the transformed series. In this paper we propose a simple alternative where the standard ADF regressions are augmented with the...
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We propose a nonlinear heterogeneous panel unit root test for testing the null hypothesis of unit-root processes against the alternative that allows a proportion of units to be generated by globally stationary ESTAR processes and a remaining non-zero proportion to be generated by unit root processes. The proposed test is simple to apply and accommodates cross section dependence. Monte Carlo sim...
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A panel unit root test is derived based on a Lagrangian Multiplier for panels with a cross-section dependence modeled using factor models. The test statistic is shown to be different from square of test statistic of Pesaran (2007) even for a case of no constant and no trend, hence the test statistic is not simply a different calculation of the suggestion made in Pesaran (2007). Implementation o...
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ژورنال
عنوان ژورنال: Journal of Applied Econometrics
سال: 2007
ISSN: 0883-7252,1099-1255
DOI: 10.1002/jae.951