Truncated Product Methods for Panel Unit Root Tests*
نویسندگان
چکیده
منابع مشابه
Truncated Product Methods for Panel Unit Root Tests.
This paper proposes two new panel unit root tests based on Zaykin et al. (2002)'s truncated product method. The first one assumes constant correlation between p-values and the second one uses sieve bootstrap to allow for general forms of cross-section dependence in the panel units. Monte Carlo simulation shows that both tests have reasonably good size and are powerful in cases of some very larg...
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ژورنال
عنوان ژورنال: Oxford Bulletin of Economics and Statistics
سال: 2012
ISSN: 0305-9049
DOI: 10.1111/j.1468-0084.2012.00705.x