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Panel unit root tests under cross section dependence with recursive mean adjustment

✍ Scribed by Donggyu Sul

Book ID: 116422327
Publisher: Elsevier Science
Year: 2009
Tongue: English
Weight: 173 KB
Volume: 105
Category: Article
ISSN: 0165-1765
DOI: 10.1016/j.econlet.2009.06.023

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## 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