A new score test for unit roots in heterogeneous panels -- Residual likelihood approach

Using the marginal likelihood of the residual, we propose new score type unit root tests for heterogeneous panels. Our tests are more powerful than the t-bar test of Im et al. (2003) for panels with many cross-sectional units and short time spans.

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Year of publication:	2010
Authors:	Oh, Yujin ; Lim, Yong Bin ; So, Beong Soo
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 106.2010, 2, p. 71-74
Publisher:	Elsevier
Keywords:	Tests for unit roots Residual likelihood Heterogeneous panels Nuisance mean parameters

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008551389