Bootstrap unit root tests in panels with cross-sectional dependency
نویسندگان
چکیده
منابع مشابه
Bootstrap Unit Root Tests in Panels with Cross-Sectional Dependency
We apply bootstrap methodology to unit root tests for dependent panels with N cross-sectional units and T time series observations. More speci cally, we let each panel be driven by a general linear process which may be di erent across crosssectional units, and approximate it by a nite order autoregressive integrated process of order increasing with T . As we allow the dependency among the innov...
متن کاملNonlinear IV unit root tests in panels with cross-sectional dependency
We propose a unit root test for panels with cross-sectional dependency. We allow general dependency structure among the innovations that generate data for each of the cross-sectional units. Each unit may have di)erent sample size, and therefore unbalanced panels are also permitted in our framework. Yet, the test is asymptotically normal, and does not require any tabulation of the critical value...
متن کاملBootstrap Unit Root Tests
We consider the bootstrap unit root tests based on finite order autoregressive integrated models driven by iid innovations, with or without deterministic time trends. A general methodology is developed to approximate asymptotic distributions for the models driven by integrated time series, and used to obtain asymptotic expansions for the Dickey–Fuller unit root tests. The second-order terms in ...
متن کاملNonlinear IV Unit Root Tests in Panels with Cross-Sectional Dependency1
We propose a unit root test for panels with cross-sectional dependency. We allow general dependency structure among the innovations that generate data for each of the cross-sectional units. Each unit may have di®erent sample size, and therefore unbalanced panels are also permitted in our framework. Yet, the test is asymptotically normal, and does not require any tabulation of the critical value...
متن کاملHomogenous panel unit root tests under cross sectional dependence: Finite sample modifications and the wild bootstrap
We investigate the performance of some homogenous first and second generation panel unit root tests under alternative forms of cross sectional dependence. We formalize contemporaneous correlation through factor models, spatial autoregressive error models and combinations thereof. Our findings confirm that while the first generation test of Levin, Lin, and Chu (2002) suffers from substantial siz...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of Econometrics
سال: 2004
ISSN: 0304-4076
DOI: 10.1016/s0304-4076(03)00214-8