Point‐optimal panel unit root tests with serially correlated errors

Generalizations of the point‐optimal panel unit root tests of Moon, Perron and Phillips (MPP) are developed to cover cases of serially correlated errors. The resulting statistics involve two modifications relative to those of MPP: (a) the error variance is replaced by the long‐run variance; (b) centring of the statistic is adjusted to correct for second‐order bias effects induced by the correlation between the error and lagged dependent variable.

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Year of publication:	2014
Authors:	Moon, Hyungsik Roger ; Perron, Benoit ; Phillips, Peter C. B.
Published in:	Econometrics Journal. - Royal Economic Society - RES. - Vol. 17.2014, 3, p. 338-372
Publisher:	Royal Economic Society - RES

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

Persistent link: https://www.econbiz.de/10011085158