Panel unit root tests under cross section dependence with recursive mean adjustment
AbstractUtilizing recursive mean adjustment (RMA) we provide two unit root tests: the covariate RMA unit root test and the panel feasible generalized RMA unit root test. The proposed panel unit root tests are precise and powerful, especially when TÂ >Â N.
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Bibliographic InfoArticle provided by Elsevier in its journal Economics Letters.
Volume (Year): 105 (2009)
Issue (Month): 1 (October)
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Web page: http://www.elsevier.com/locate/ecolet
Recursive detrending Dynamic factors Panel unit root test Covariate unit root test Cross section dependence;
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