A REVIEW AND COMPARISON OF TESTS OF CROSS-SECTION INDEPENDENCE IN PANELS
β Scribed by Francesco Moscone; Elisa Tosetti
- Book ID
- 110940565
- Publisher
- John Wiley and Sons
- Year
- 2009
- Tongue
- English
- Weight
- 234 KB
- Volume
- 23
- Category
- Article
- ISSN
- 0950-0804
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π SIMILAR VOLUMES
## Abstract A number of panel unit root tests that allow for crossβsection dependence have been proposed in the literature that use orthogonalization type procedures to asymptotically eliminate the crossβdependence of the series before standard panel unit root tests are applied to the transformed s
Most studies of panel unit test (PUT) believe that their tests could be extended to panel cointegration test (PCT) directly since PUT and PCT converge sequentially to standard normal distribution in the absence of trends and autocorrelation. But the difference between PUT and PCT cannot be ignored w