Unit roots: Identification and testing in micro panels

نویسندگان

  • Stephen Bond
  • Céline Nauges
  • Frank Windmeijer
چکیده

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 ordinary least squares estimators perform particularly well. JEL Classification: C12, C23

برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

ثبت نام

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

Jörg 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 کامل

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 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 کامل

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 کامل

Testing for seasonal unit roots in monthly panels of time series

We consider the problem of testing for seasonal unit roots in monthly panel data. To this aim, we generalize the quarterly CHEGY test to the monthly case. This parametric test is contrasted with a new nonparametric test, which is the panel counterpart to the univariate RURS test that relies on counting extrema in time series. All methods are applied to an empirical data set on tourism in Austri...

متن کامل

Testing for unit roots in panels by using a mixture model

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 li...

متن کامل

ذخیره در منابع من


  با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید

برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

ثبت نام

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

عنوان ژورنال:

دوره   شماره 

صفحات  -

تاریخ انتشار 2005