Testing for Panel Unit Roots under General Cross-sectional Dependence
| Autor: | Ghazi Shukur, Thomas Holgersson, Kristofer Månsson |
|---|---|
| Rok vydání: | 2016 |
| Předmět: |
Statistics and Probability
Multivariate statistics Multivariate analysis jel:C52 panel data unit roots linear hypothesis invariance 05 social sciences jel:C32 Invariant (physics) Linear hypothesis Linear map Modeling and Simulation 0502 economics and business Statistics Econometrics 050207 economics Unit (ring theory) 050205 econometrics Statistical hypothesis testing Panel data Mathematics |
| Zdroj: | Communications in Statistics - Simulation and Computation. 45:1785-1801 |
| ISSN: | 1532-4141 0361-0918 |
| DOI: | 10.1080/03610918.2013.879178 |
| Popis: | In this paper we generalize four tests of multivariate linear hypothesis to panel data unit root testing. The test statistics are invariant to certain linear transformations of data and therefore simulated critical values may conveniently be used. It is demonstrated that all four tests remains well behaved in cases of where there are heterogeneous alternatives and cross-correlations between marginal variables. A Monte Carlo simulation is included to compare and contrast the tests with two well-established ones. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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