Panel Unit Root Tests in the Presence of aMultifactor Error Structure

This paper extends the cross sectionally augmented panel unit root test proposed byPesaran (2007) to the case of a multifactor error structure. The basic idea is to exploitinformation regarding the unobserved factors that are shared by other time series in additionto the variable under consideration...

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Year of publication:	2007-12-01
Authors:	Pesaran, M. Hashem ; Smith, L. Vanessa ; Yamagata, Takashi
Institutions:	Forschungsinstitut zur Zukunft der Arbeit <Bonn>
Subject:	Monte-Carlo-Simulation \| Struktur \| Querschnitt \| Bedienteil

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Extent:	518144 bytes 56 p. application/pdf
Series:	IZA Discussion Papers Discussion Paper ; No. 3254 (2007)
Type of publication:	Book / Working Paper
Language:	English
Classification:	C12 - Hypothesis Testing ; C15 - Statistical Simulation Methods; Monte Carlo Methods ; C22 - Time-Series Models ; C23 - Models with Panel Data ; Employment of capital, capital investment planning and estimate of investment profitability ; Individual Working Papers, Preprints ; No country specification
Source:	USB Cologne (business full texts)

Persistent link: https://www.econbiz.de/10005860582