Testing for unit roots in three-dimensional heterogeneous panels in the presence of cross-sectional dependence
✍ Scribed by Monica Giulietti; Jesús Otero; Jeremy Smith
- Book ID
- 116422097
- Publisher
- Elsevier Science
- Year
- 2008
- Tongue
- English
- Weight
- 158 KB
- Volume
- 101
- Category
- Article
- ISSN
- 0165-1765
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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
## 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