Unit roots: Identification and testing in micro panels

We consider a number of unit root tests for micro panels where the number of individuals is typically large, but the number of time periods is often very small. As we discuss, the presence of a unit root is closely related to the identification of parameters of interest in this context. Calculations of asymptotic local power and Monte Carlo evidence indicate that two simple t-tests based on ordinary least squares estimators perform particularly well.

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Year of publication:	2005
Authors:	Bond, Stephen ; Nauges, Céline ; Windmeijer, Frank
Publisher:	London : Centre for Microdata Methods and Practice (cemmap)
Subject:	Generalised Method of Moments , Identification , Unit Root Tests

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Series:	cemmap working paper ; CWP07/05
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	10.1920/wp.cem.2005.0705 [DOI] 49421791X [GVK] hdl:10419/79321 [Handle] RePEc:ifs:cemmap:07/05 [RePEc]
Classification:	C12 - Hypothesis Testing ; C23 - Models with Panel Data
Source:	EconStor

Persistent link: https://www.econbiz.de/10010318498