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Robust tests for unit roots in heterogeneous panels

Title
Robust tests for unit roots in heterogeneous panels
Authors
Oh Y.J.So B.S.
Ewha Authors
소병수
SCOPUS Author ID
소병수scopus
Issue Date
2004
Journal Title
Economics Letters
ISSN
0165-1765JCR Link
Citation
vol. 84, no. 1, pp. 35 - 41
Indexed
SSCI; SCOPUS scopus
Abstract
We propose a robust test for unit roots in dynamic heterogeneous panels based on the sum of sign-type test statistics across the groups. Our test has an exact binomial null distribution and is consistent for a wide class of partially stationary processes with heterogeneous heavy-tailed errors. Monte-Carlo simulation shows that the new test has a stable size and is more powerful than the tests based on the ordinary least squares estimators (OLSE) in heterogeneous panels with heavy-tailed errors. © 2004 Elsevier B.V. All rights reserved.
DOI
10.1016/j.econlet.2003.12.009
Appears in Collections:
자연과학대학 > 통계학전공 > Journal papers
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