Unit Root Inference in Generally Trending and Cross-Correlated Fixed-T Panels
نویسندگان
چکیده
منابع مشابه
A Truly Invariant Test for a Unit Root in Generally Trending and Correlated Panels∗
The asymptotic distribution of all unit root test statistics depend on the deterministic specification of the fitted test regression, which need not be equal to the true one. In time series, this implies that different deterministic specifications have their own critical values, whereas in panels, it implies that different specifications have their own mean and variance correction factors. This...
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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 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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ژورنال
عنوان ژورنال: Journal of Business & Economic Statistics
سال: 2017
ISSN: 0735-0015,1537-2707
DOI: 10.1080/07350015.2016.1191501