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Unit root tests for panel data with AR(1) errors and small T

✍ Scribed by Rembert De Blander; Geert Dhaene


Book ID
110880185
Publisher
John Wiley and Sons
Year
2012
Tongue
English
Weight
805 KB
Volume
15
Category
Article
ISSN
1368-4221

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Small-sample properties of some tests fo
✍ T. Oke; J. Lyhagen πŸ“‚ Article πŸ“… 1999 πŸ› Elsevier Science 🌐 English βš– 103 KB

In the augmented Dickey-Fuller (ADF) regression one usually decides on the level of the "augmentation" prior to the performing of unit root test. This is a purely data-dependent method that uses either some information criteria or some sequential test of signiΓΏcance on parameter estimates. Contrary