Panel Unit Root Tests and the Specification of Cross-sectional Dependence

This paper analyzes, through Monte Carlo experiments, the robustness of several panel unit root tests to different specifications of the cross-sectional dependence. Since results show that the miss-specification of cross-correlation crucially affects the properties of the tests, a graphical approach is suggested in order to determine the model of dependence which is likely to have generated the original data.

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Year of publication:	2008
Authors:	Cerasa, Andrea
Published in:	Economics Bulletin. - AccessEcon, ISSN 1545-2921. - Vol. 3.2008, 37, p. 1-13
Publisher:	AccessEcon
Subject:	Panel unit root tests

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Extent:	application/pdf
Type of publication:	Article
Language:	English
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005110757