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A new score test for unit roots in heterogeneous panels - Residual likelihood approach

Title
A new score test for unit roots in heterogeneous panels - Residual likelihood approach
Authors
Oh Y.Lim Y.B.So B.S.
Ewha Authors
임용빈소병수
SCOPUS Author ID
임용빈scopus; 소병수scopus
Issue Date
2010
Journal Title
Economics Letters
ISSN
0165-1765JCR Link
Citation
vol. 106, no. 2, pp. 71 - 74
Indexed
SSCI; SCOPUS WOS scopus
Abstract
Using the marginal likelihood of the residual, we propose new score type unit root tests for heterogeneous panels. Our tests are more powerful than the t-bar test of Im et al. (2003) for panels with many cross-sectional units and short time spans. © 2009 Elsevier B.V. All rights reserved.
DOI
10.1016/j.econlet.2009.08.030
Appears in Collections:
자연과학대학 > 통계학전공 > Journal papers
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