PANEL DATA UNIT ROOT TEST WITH FIXED TIME DIMENSION

被引：3
|
作者：
Carrion-i-Silvestre, Josep Lluis [1 ]
Hadri, Kaddour [2 ]
机构：
[1] Univ Barcelona, Dept Econometr Stat & Spanish Econ, AQR IREA Res Grp, Barcelona 08034, Spain
[2] Queens Univ Belfast, Sch Management, Belfast BT7 1NN, Antrim, North Ireland
来源：
BULLETIN OF ECONOMIC RESEARCH | 2010年 / 62卷 / 03期
关键词：
fixed time dimension; panel data unit root; C12; C22;
D O I：
10.1111/j.1467-8586.2009.00323.x
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
The consideration of the limit theory in which T is fixed and N is allowed to go to infinity improves the finite-sample properties of the tests and avoids the imposition of the relative rates at which T and N go to infinity.
引用
收藏
页码：269 / 277
页数：9
相关论文
共 50 条
  • [31] The local power of some unit root tests for panel data
    Breitung, J
    ADVANCES ECOOMETRICS, VOL 15, 2000: NONSTATIONARY PANELS, PALEL COINTEGRATION, AND DYNAMIC PANELS, 2000, 15 : 161 - 177
  • [32] Backward mean transformation in unit root panel data models
    Juodis, Arturas
    Poldermans, Rutger W.
    ECONOMICS LETTERS, 2021, 201
  • [33] Testing for a unit root in a random coefficient panel data model
    Westerlund, Joakim
    Larsson, Rolf
    JOURNAL OF ECONOMETRICS, 2012, 167 (01) : 254 - 273
  • [34] ESTIMATION OF UNIT ROOT SPATIAL DYNAMIC PANEL DATA MODELS
    Yu, Jihai
    Lee, Lung-Fei
    ECONOMETRIC THEORY, 2010, 26 (05) : 1332 - 1362
  • [35] Series-specific unit root tests with panel data
    Breuer, JB
    McNown, R
    Wallace, M
    OXFORD BULLETIN OF ECONOMICS AND STATISTICS, 2002, 64 (05) : 527 - 546
  • [36] Quantile unit root inference for panel data with common shocks
    Yang, Jisheng
    Wei, Jinbao
    Cai, Biqing
    ECONOMICS LETTERS, 2022, 219
  • [37] Test for the covariance matrix in time-varying coefficients panel data models with fixed effects
    Yuping Hu
    Sanying Feng
    Jing Zhao
    Journal of the Korean Statistical Society, 2021, 50 : 544 - 564
  • [38] Test for the covariance matrix in time-varying coefficients panel data models with fixed effects
    Hu, Yuping
    Feng, Sanying
    Zhao, Jing
    JOURNAL OF THE KOREAN STATISTICAL SOCIETY, 2021, 50 (02) : 544 - 564
  • [39] A Robust Panel Unit Root Test in the Presence of Cross Sectional Dependence
    Shariff, Nurul Sima Mohamad
    Hamzah, Nor Aishah
    JOURNAL OF MODERN APPLIED STATISTICAL METHODS, 2015, 14 (02) : 159 - 171
  • [40] Why not use standard panel unit root test for testing PPP
    Lyhagen, Johan
    ECONOMICS BULLETIN, 2008, 3
12345