Nonlinear IV Panel Unit Root Tests

@inproceedings{Chang2003NonlinearIP,
  title={Nonlinear IV Panel Unit Root Tests},
  author={Yoosoon Chang},
  year={2003}
}
This paper presents the nonlinear IV methodology as an effective inferential basis for nonstationary panels. The nonlinear IV method resolves the inferential difficulties in testing for unit roots arising from the intrinsic heterogeneities and cross-dependencies of panel models. Individual units are allowed to be dependent through correlations among innovations, interrelatedness of short-run dynamics and/or cross-sectional cointegrations. If based on the instrumental variables that are… CONTINUE READING

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