Testing for a Unit Root in a Random Coefficient Panel Data Model

This paper proposes a new unit root test in the context of a random autoregressive coefficient panel data model, in which the null of a unit root corresponds to the joint restriction that the autoregressive coefficient has unit mean and zero variance. The asymptotic distribution of the test statistic is derived and simulation results are provided to suggest that it performs very well in small samples.<p>

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Year of publication:	2009-10-01
Authors:	Westerlund, Joakim ; Larsson, Rolf
Institutions:	Nationalekonomiska institutionen, Handelshögskolan
Subject:	Panel unit root test \| Random coefficient autoregressive model

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Extent:	text/html
Series:	Working Papers in Economics.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series Working Papers in Economics Number 383 52 pages
Classification:	C13 - Estimation ; C33 - Models with Panel Data
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008566276