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Optimal tests against the alternative hypothesis of panel unit roots

Title
Optimal tests against the alternative hypothesis of panel unit roots
Authors
Lee Y.Shin D.W.
Ewha Authors
신동완
SCOPUS Author ID
신동완scopus
Issue Date
2009
Journal Title
Computational Statistics and Data Analysis
ISSN
0167-9473JCR Link
Citation
vol. 53, no. 6, pp. 2275 - 2283
Indexed
SCIE; SCOPUS WOS scopus
Abstract
For panel models with random individual and time effects, locally best invariant (LBI) tests are constructed for the null hypothesis of stationarity against the alternative hypothesis of panel unit root. Finite sample properties of the proposed test and an existing test are compared by a Monte Carlo simulation. © 2008 Elsevier B.V. All rights reserved.
DOI
10.1016/j.csda.2008.06.014
Appears in Collections:
자연과학대학 > 통계학전공 > Journal papers
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