Showing 1 - 9 of 9
Persistent link: https://www.econbiz.de/10011550017
Persistent link: https://www.econbiz.de/10011500261
Persistent link: https://www.econbiz.de/10012619250
Persistent link: https://www.econbiz.de/10011589920
In a recent study, Westerlund (Empir Econ 37:517–531, <CitationRef CitationID="CR37">2009</CitationRef>) shows that the performance of the popular LLC (Levin et al., J Econ 108:1–24, <CitationRef CitationID="CR22">2002</CitationRef>) panel unit root test depends critically on the choice of lag truncation used when correcting for serial correlation, and that it is only when this...</citationref></citationref>
Persistent link: https://www.econbiz.de/10010994462
Very little is known about the local power of second generation panel unit root tests that are robust to cross-section dependence. This paper derives the local asymptotic power functions of the CADF and CIPS tests of Pesaran (A Simple Panel Unit Root Test in Presence of Cross-Section Dependence,...
Persistent link: https://www.econbiz.de/10010741272
This paper analyzes the role of initialization when testing for a unit root in panel data, an issue that has received surprisingly little attention in the literature. In fact, most studies assume that the initial value is either zero or bounded. As a response to this, the current paper considers...
Persistent link: https://www.econbiz.de/10010741277
This paper proposes new unit root tests in the context of a random autoregressive coefficient panel data model, in which the null of a unit root corresponds to the joint restriction that the autoregressive coefficient has unit mean and zero variance. The asymptotic distributions of the test...
Persistent link: https://www.econbiz.de/10010574088
This paper proposes a new unit root test in the context of a random autoregressive coefficient panel data model, in which the null of a unit root corresponds to the joint restriction that the autoregressive coefficient has unit mean and zero variance. The asymptotic distribution of the test...
Persistent link: https://www.econbiz.de/10008566276