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Testing for panel unit roots under general cross-sectional dependence
Jönköping University, Jönköping International Business School, JIBS, Statistics. Linnaeus University, Sweden. (Statistik)ORCID iD: 0000-0003-2120-0493
Jönköping University, Jönköping International Business School, JIBS, Statistics. Göteborg University, Sweden . (Statistik)ORCID iD: 0000-0001-6332-4369
Jönköping University, Jönköping International Business School, JIBS, Statistics. (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]
Panel data, unit roots, linear hypothesis, invariance
National Category
Social Sciences Probability Theory and Statistics
Identifiers
URN: urn:nbn:se:hj:diva-22426DOI: 10.1080/03610918.2013.879178ISI: 000374951900028Scopus ID: 2-s2.0-84964687191OAI: oai:DiVA.org:hj-22426DiVA: diva2:656732
Available from: 2013-10-16 Created: 2013-10-16 Last updated: 2017-01-04Bibliographically approved

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