An IV Test for a Unit Root in Generally Trending and Correlated Panels
Research output: Contribution to journal › Article
This paper proposes an IV-based panel unit root test that is general enough to accommodate general error serial and cross-section dependence, and a potentially nonlinear deterministic trend function. These allowances make the new test one of the most general around. It is also very simple to implement. Indeed, the IV statistic is asymptotically invariant to not only to all nuisance parameters characterizing the dependence of the errors and the true trend function, but also the deterministic specification of the fitted test regression.
|Research areas and keywords||
Subject classification (UKÄ) – MANDATORY
|Number of pages||13|
|Journal||Oxford Bulletin of Economics and Statistics|
|Publication status||Published - 2016 Oct 1|