A Panel-CADF Test for Unit Roots

In this paper we propose the extension of the covariate-augmented Dickey Fuller (CADF) test for unit roots developed by Hansen (1995} to the panel case. We show that the extension is viable and gives power gains with respect to the time series approach. Particular attention is paid to cross-unit dependence.

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Year of publication:	2007-09-10
Authors:	Costantini, Mauro ; Lupi, Claudio ; Popp, Stephan
Institutions:	Dipartimento di Economia, Gestione, Società e Istituzioni, Università degli Studi del Molise
Subject:	Unit root \| Panel data \| Cross-unit dependence

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Extent:	application/pdf
Series:	Economics & Statistics Discussion Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	23 pages
Classification:	C12 - Hypothesis Testing ; C22 - Time-Series Models ; C23 - Models with Panel Data
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005583223