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Testing for Panel Unit Roots under General Cross-Sectional Dependence
Linnaeus University, School of Business and Economics, Department of Economics and Statistics. Jönköping University.
University of Gothenburg.
Linnaeus University, School of Business and Economics, Department of Economics and Statistics. Jönköping University. (Statistik)ORCID iD: 0000-0002-3416-5896
2016 (English)In: Communications in statistics. Simulation and computation, ISSN 0361-0918, E-ISSN 1532-4141, Vol. 45, no 5, 1785-1801 p.Article in journal (Refereed) Published
Abstract [en]

In this paper we generalize four tests of multivariate linear hypothesis to panel data unit root testing. The test statistics are invariant to certain linear transformations of data and therefore simulated critical values may conveniently be used. It is demonstrated that all four tests remains well behaved in cases of where there are heterogeneous alternatives and cross-correlations between marginal variables. A Monte Carlo simulation is included to compare and contrast the tests with two well-established ones.

Place, publisher, year, edition, pages
Taylor & Francis, 2016. Vol. 45, no 5, 1785-1801 p.
Keyword [en]
Invariance, Linear hypothesis, Panel data, Unit roots
National Category
Probability Theory and Statistics
Research subject
Statistics/Econometrics
Identifiers
URN: urn:nbn:se:lnu:diva-29662DOI: 10.1080/03610918.2013.879178ISI: 000374951900028Scopus ID: 2-s2.0-84964687191OAI: oai:DiVA.org:lnu-29662DiVA: diva2:656730
Available from: 2013-10-16 Created: 2013-10-16 Last updated: 2017-12-06Bibliographically approved

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Holgersson, ThomasShukur, Ghazi

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