Finite sample distributions of nonlinear IV panel unit root tests in the presence of cross-section dependence
نویسنده
چکیده
This paper presents a response surface analysis for the nite sample distributions of two popular panel unit root tests developed by Chang (2002) and Chang and Song (2005). Numerical distributions illustrate signi cant di¤erences between nite sample and large sample properties. Dependence of nite sample bias on sample size is investigated. The paper provides 95% con dence intervals for the critical values using David-Johnson estimate of percentile standard deviation. Computation of p value of empirical test statistic is also presented.
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