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In this paper, we propose Phillips-Perron type, semiparametric testing procedures to distinguish a unit root process from a mean-reverting exponential smooth transition autoregressive one. The limiting nonstandard distributions are derived under very general conditions and simulation evidence...
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estimation efficiency while properly tackling the potential bias due to unobserved individual characteristics. We propose an …. This reduces the standard errors of the estimation coefficients and might increase their significance as well, otherwise … compromised by the limited variation provided by the short longitudinal data. -- Panel data ; estimation efficiency ; pseudo …
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