Testing for unit root in nonlinear heterogeneous panels
AbstractWe develop unit root tests for nonlinear heterogeneous panels where the alternative hypothesis is an exponential smooth transition (ESTAR) model, and provide their small sample properties. We apply our tests for investigating the income convergence hypothesis in the OECD sample.
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Bibliographic InfoArticle provided by Elsevier in its journal Economics Letters.
Volume (Year): 104 (2009)
Issue (Month): 1 (July)
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Web page: http://www.elsevier.com/locate/ecolet
Nonlinear Panel unit root Sieve bootstrap;
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- Im, Kyung So & Pesaran, M. Hashem & Shin, Yongcheol, 2003.
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- Kapetanios, George & Shin, Yongcheol & Snell, Andy, 2003. "Testing for a unit root in the nonlinear STAR framework," Journal of Econometrics, Elsevier, vol. 112(2), pages 359-379, February.
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"A Simple Panel Unit Root Test in the Presence of Cross Section Dependence,"
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0346, Faculty of Economics, University of Cambridge.
- M. Hashem Pesaran, 2007. "A simple panel unit root test in the presence of cross-section dependence," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(2), pages 265-312.
- Michael, Panos & Nobay, A Robert & Peel, David A, 1997.
"Transactions Costs and Nonlinear Adjustment in Real Exchange Rates: An Empirical Investigation,"
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