Simple panel unit root tests to detect changes in persistence
β Scribed by Mauro Costantini; Luciano Gutierrez
- Book ID
- 116421683
- Publisher
- Elsevier Science
- Year
- 2007
- Tongue
- English
- Weight
- 146 KB
- Volume
- 96
- Category
- Article
- ISSN
- 0165-1765
No coin nor oath required. For personal study only.
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
## Abstract Unit root tests, seeking mean or trend reversion, are frequently applied to panel data. We show that more powerful variants of commonly applied tests are readily available. Moreover, power gains persist when the modifications are applied to bootstrap procedures that may be employed when