A Supplement to Panel Unit Root Tests in the Presence of a Multifactor Error Structure
نویسندگان
چکیده
This supplement provides proofs of the main theoretical results in Pesaran, Smith and Yagamata (2012, PSY) for the case of models with linear trends, and models with intercepts and serially correlated idiosyncratic errors. It also provides theoretical results for the cross sectionally augmented Sargan-Bhargava statistics, gives the details of a number of di¤erent panel unit root tests used in the empirical application, and provides comparative Monte Carlo results of the proposed tests and other panel unit root tests. This supplement should be consulted in conjunction with the paper.
منابع مشابه
Panel Unit Root Tests in the Presence of a Multifactor Error Structure
This paper extends the cross sectionally augmented panel unit root test proposed by Pesaran (2007) to the case of a multifactor error structure. The basic idea is to exploit information regarding the unobserved factors that are shared by other time series in addition to the variable under consideration. Importantly, our test procedure only requires specification of the maximum number of factors...
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