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자연과학대학
통계학전공
Journal papers
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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
소병수
Issue Date
2004
Journal Title
Economics Letters
ISSN
0165-1765
Citation
Economics Letters vol. 84, no. 1, pp. 35 - 41
Indexed
SSCI; SCOPUS
Document Type
Article
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
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