Nonlinear IV unit root tests in panels with cross-sectional dependency
نویسندگان
چکیده
منابع مشابه
Nonlinear 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...
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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 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...
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An IV approach, using as instruments nonlinear transformations of the lagged levels, is explored to test for unit roots in panels with general dependency and heterogeneity across cross-sectional units. We allow not only for the cross-sectional dependencies of innovations, but also for the presence of cointegration across crosssectional levels. Unbalanced panels and panels with di¤ering individu...
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ژورنال
عنوان ژورنال: Journal of Econometrics
سال: 2002
ISSN: 0304-4076
DOI: 10.1016/s0304-4076(02)00095-7