The accuracy of normal approximation in a heterogeneous panel data unit root test
✍ Scribed by Kristian Jönsson
- Publisher
- Springer-Verlag
- Year
- 2006
- Tongue
- English
- Weight
- 514 KB
- Volume
- 49
- Category
- Article
- ISSN
- 0932-5026
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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
Using sequential trend break and panel data models, we investigate the unit root hypothesis for the in¯ation rates of thirteen OECD countries. With individual country tests, we ®nd evidence of stationarity in only four of the thirteen countries. The results are more striking with the panel data mode