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Panel Unit Root Tests and the Specification of Cross-sectional Dependence

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Author Info
Andrea Cerasa () (University Carlos III, Madrid)
Abstract

This paper analyzes, through Monte Carlo experiments, the robustness of several panel unit root tests to different specifications of the cross-sectional dependence. Since results show that the miss-specification of cross-correlation crucially affects the properties of the tests, a graphical approach is suggested in order to determine the model of dependence which is likely to have generated the original data.

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File URL: http://www.accessecon.com/pubs/EB/2008/Volume3/EB-08C30035A.pdf
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Publisher Info
Article provided by AccessEcon in its journal Economics Bulletin.

Volume (Year): 3 (2008)
Issue (Month): 37 ()
Pages: 1-13
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:ebl:ecbull:v:3:y:2008:i:37:p:1-13

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Related research
Keywords: Panel unit root tests;

Statistics
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