Testing for a unit root in a random coefficient panel data model

This paper proposes new unit root tests 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 distributions of the test statistics are derived and simulation results are provided to suggest that they perform very well in small samples.

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Year of publication:	2012
Authors:	Westerlund, Joakim ; Larsson, Rolf
Published in:	Journal of Econometrics. - Elsevier, ISSN 0304-4076. - Vol. 167.2012, 1, p. 254-273
Publisher:	Elsevier
Subject:	Panel unit root test \| Random coefficient autoregressive model \| Local asymptotic power

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Type of publication:	Article
Classification:	C13 - Estimation ; C33 - Models with Panel Data
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010574088