Synergy between an Improved Covariate Unit Root Test and Cross-sectionally Dependent Panel Data Unit Root Tests
نویسندگان
چکیده
منابع مشابه
Panel Unit Root Tests under Cross-sectional Dependence: an Overview
The increasing availability of new datasets where the time-series dimension and the cross-section dimension are of the same order of magnitude asks for new techniques for the analysis of this peculiar kind of data. In the panel unit root test framework, two generations of tests have been developed: a first generation whose main limit is the assumption of cross-sectional independence across unit...
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In this paper alternative approaches for testing the unit root hypothesis in panel data are considered. First, a robust version of the Dickey-Fuller t-statistic under contemporaneous correlated errors is suggested. Second, the GLS t-statistic is considered, which is based on the t-statistic of the transformed model. The asymptotic power of both tests against a sequence of local alternatives is ...
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ژورنال
عنوان ژورنال: The Manchester School
سال: 2014
ISSN: 1463-6786
DOI: 10.1111/manc.12080