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analyzed using asymptotic theory and finite sample simulations. IM-OLS performs well relative to other approaches in the …
Persistent link: https://www.econbiz.de/10009686172
This study develops new rank tests for panels that include panel unit root tests as a special case. The tests are unusual in that they can accommodate very general forms of both serial and cross-sectional dependence, including cross-unit cointegration, without the need to specify the form of...
Persistent link: https://www.econbiz.de/10009686205
We extend fixed-b asymptotic theory to the nonparametric Phillips-Perron (PP) unit root tests. We show that the fixed …
Persistent link: https://www.econbiz.de/10009686209