Panel Unit-root Tests for Cross-sectionally Correlated Panels: A Monte Carlo Comparison
โ Scribed by Luciano Gutierrez
- Book ID
- 111046894
- Publisher
- John Wiley and Sons
- Year
- 2006
- Tongue
- English
- Weight
- 153 KB
- Volume
- 68
- Category
- Article
- ISSN
- 0140-5543
No coin nor oath required. For personal study only.
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## Abstract A number of panel unit root tests that allow for crossโsection dependence have been proposed in the literature that use orthogonalization type procedures to asymptotically eliminate the crossโdependence of the series before standard panel unit root tests are applied to the transformed s
## Abstract Recently, considerable emphasis has been placed on the problems arising out of crossโsectional dependence in panel unit root tests. This paper adopts the factorโbased crossโsectional dependence paradigm of Bai and Ng (2005) but suggests alternative factor extraction methods. Some theore