Testing for unit roots in panels by using a mixture model
نویسنده
چکیده
This paper introduces a dynamic panel data model with exogenous variables where the dynamic behavior is allowed to differ between cross-section units. The framework is a mixture model obtained by mixing two regression model with different paramters according to some mixing weights. The parameters in the model are estimated by the method of maximum likelihood, and it is shown that the maximum likelihood estimator is consistent and asymptotically normally distributed. Within the mixture model it possible to distinguish between different unit root hypotheses that cannot be distinguished by existing test procedures. The method is applied to income data from the PSID. For this sample there is no evidence of unit roots in the income processes but the processes differ substantially between individuals.
منابع مشابه
Testing for Unit Roots in Small Panels with Short-run and Long-run Cross-sectional Dependencies
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 cross-sectional levels. Unbalanced panels and panels with differing indivi...
متن کاملJörg Breitung and M. Hashem Pesaran Unit Roots and Cointegration in Panels
This paper provides a review of the literature on unit roots and cointegration in panels where the time dimension (T ), and the cross section dimension (N) are relatively large. It distinguishes between the rst generation tests developed on the assumption of the cross section independence, and the second generation tests that allow, in a variety of forms and degrees, the dependence that might ...
متن کاملUnit Roots and Cointegration in Panels∗
This paper provides a review of the literature on unit roots and cointegration in panels where the time dimension (T ), and the cross section dimension (N) are relatively large. It distinguishes between the first generation tests developed on the assumption of the cross section independence, and the second generation tests that allow, in a variety of forms and degrees, the dependence that might...
متن کاملUnit roots: Identification and testing in micro panels
We consider a number of unit root tests for micro panels where the number of individuals is typically large, but the number of time periods is often very small. As we discuss, the presence of a unit root is closely related to the identification of parameters of interest in this context. Calculations of asymptotic local power and Monte Carlo evidence indicate that two simple t-tests based on ord...
متن کاملOptimal Angle for Solar Panels to Receive Maximum Radiation: Case of Mashhad City
The solar arrays are one of the most promising renewable energy technologies for providing energy needs . in buildings. For installed solar panels on building roofs, knowing the optimal inclination angle is important in order to obtain the maximum annual or seasonal energy. In fact, the changes in slope angle affect the amount of solar radiation that reaches the surface of the panel. In this s...
متن کامل