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Cross-sectional Dependency and Size Distortion in a Small-sample Homogeneous Panel Data Unit Root Test

✍ Scribed by Kristian Jönsson


Book ID
111046843
Publisher
John Wiley and Sons
Year
2005
Tongue
English
Weight
166 KB
Volume
67
Category
Article
ISSN
0140-5543

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## Abstract A number of panel unit root tests that allow for cross‐section dependence have been proposed in the literature that use orthogonalization type procedures to asymptotically eliminate the cross‐dependence of the series before standard panel unit root tests are applied to the transformed s