Testing the Order of Fractional Integration in Panel Data Models
نویسنده
چکیده
Maddala and Wu (1999) proposed a simple panel unit test using a Fisher type test. We propose using Percival and Walden (2006) approximate maximum likelihood estimator of the fractional integration order with a Fisher type test to create a simple panel fractional integration order test. By combining the estimator and the test with a wavestrap method to obtain critical values, we allow for cross-sectional dependence. Monte Carlo simulations in the paper show that the test has the correct size and strong power over the alternative.
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