Unit root inference in panel data models where the time-series dimension is fi xed : A comparison of di ff erent tests

@inproceedings{Madsen2003UnitRI,
  title={Unit root inference in panel data models where the time-series dimension is fi xed : A comparison of di ff erent tests},
  author={Edith Madsen},
  year={2003}
}
The objective of the paper is to investigate and compare the performance of some of the unit root tests in micro-panels which have been suggested in the literature. The framework is an autoregressive panel data model allowing for heterogeneity in the intercept but not in the autoregressive parameter. The tests being considered can be used to distinguish between the null hypothesis of each time-series process being a random walk and the alternative hypothesis of each time-series process being… CONTINUE READING

References

Publications referenced by this paper.
Showing 1-10 of 22 references

Panel data econometrics, (Oxford University Press, Oxford)

M. Arellano
Baltagi, B.H., • 2003
View 7 Excerpts
Highly Influenced

Inference for unit roots in dynamic panels where the time dimension is … xed

R. D. F. Harris, E. Tzavalis
Journal of Econometrics • 1999
View 7 Excerpts
Highly Influenced

Biases in dynamic models with fixed effects

S. London. Nickell
1981
View 4 Excerpts
Highly Influenced

Estimating cointegrating relations from a cross sesctio

H. R. Moon, B. Perron, P. C. B. Phillips
Econometrics Journal • 2005

Unit roots and identi … cation in autoregressive panel data models : A comparison of alternative tests

S. Bond
2002

Nonstationary panels , cointegration in panels and dynamic panels : A survey

B. H. Baltagi, C. Kao
2000
View 1 Excerpt

Similar Papers

Loading similar papers…