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An instrumental variable approach for panel unit root tests under cross-sectional dependence

Title
An instrumental variable approach for panel unit root tests under cross-sectional dependence
Authors
Shin D.W.Kang S.
Ewha Authors
신동완강승호
SCOPUS Author ID
신동완scopus
Issue Date
2006
Journal Title
Journal of Econometrics
ISSN
0304-4076JCR Link
Citation
vol. 134, no. 1, pp. 215 - 234
Indexed
SCIE; SSCI; SCOPUS WOS scopus
Abstract
For dynamic panel models with cross-sectional dependence, several unit root tests are constructed using a Huber-type instrument, whose null asymptotics are standard Gaussian and do not depend on nuisance parameters. A Monte-Carlo simulation shows that the proposed tests have better sizes and comparable powers relative to other two existing tests developed for cross-sectionally dependent dynamic panel models. © 2005 Elsevier B.V. All rights reserved.
DOI
10.1016/j.jeconom.2005.06.021
Appears in Collections:
자연과학대학 > 통계학전공 > Journal papers
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