𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Panel unit root tests in the presence of cross-sectional dependence: finite sample performance and an application

✍ Scribed by S. De Silva; K. Hadri; A. R. Tremayne


Book ID
110880121
Publisher
John Wiley and Sons
Year
2009
Tongue
English
Weight
250 KB
Volume
12
Category
Article
ISSN
1368-4221

No coin nor oath required. For personal study only.


📜 SIMILAR VOLUMES


Dynamic factor extraction of cross-secti
✍ George Kapetanios 📂 Article 📅 2007 🏛 John Wiley and Sons 🌐 English ⚖ 204 KB 👁 1 views

## Abstract Recently, considerable emphasis has been placed on the problems arising out of cross‐sectional dependence in panel unit root tests. This paper adopts the factor‐based cross‐sectional dependence paradigm of Bai and Ng (2005) but suggests alternative factor extraction methods. Some theore

A simple panel unit root test in the pre
✍ M. Hashem Pesaran 📂 Article 📅 2007 🏛 John Wiley and Sons 🌐 English ⚖ 372 KB 👁 1 views

## 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