Testing for a Unit Root in a Random Coefficient
نویسندگان
چکیده
This paper proposes a new unit root test in the context of a random autoregressive coefficient panel data model, in which the null of a unit root corresponds to the joint restriction that the autoregressive coefficient has unit mean and zero variance. The asymptotic distribution of the test statistic is derived and simulation results are provided to suggest that it performs very well in small samples. JEL Classification: C13; C33.
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