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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
Economics Letters vol. 106, no. 2, pp. 71 - 74
Indexed
SSCI; SCOPUS WOS scopus
Document Type
Article
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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