Panel unit root tests under cross section dependence with recursive mean adjustment

Utilizing recursive mean adjustment (RMA) we provide two unit root tests: the covariate RMA unit root test and the panel feasible generalized RMA unit root test. The proposed panel unit root tests are precise and powerful, especially when TÂ >Â N.

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Year of publication:	2009
Authors:	Sul, Donggyu
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 105.2009, 1, p. 123-126
Publisher:	Elsevier
Keywords:	Recursive detrending Dynamic factors Panel unit root test Covariate unit root test Cross section dependence

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

Persistent link: https://www.econbiz.de/10005023487