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

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  • Harris, Richard D. F.
  • Tzavalis, Elias

Abstract

Implementation of Harris-Tzavalis test for unit roots in panel data. This has a null of a unit root, with asymptotics assuming large N, fixed T. Harris and Tzavalis(1999), "Inference for unit roots in dynamic panels where the time dimension is fixed". Journal of Econometrics, vol 91, pp 201–226.

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 91 (1999)
Issue (Month): 2 (August)
Pages: 201-226

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Handle: RePEc:eee:econom:v:91:y:1999:i:2:p:201-226

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Web page: http://www.elsevier.com/locate/jeconom

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References

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  1. Quah, D., 1993. "Exploiting Cross Section Variation for Unit Root Inference in Dynamic Data," Papers, Stockholm - International Economic Studies 549, Stockholm - International Economic Studies.
  2. Nickell, Stephen J, 1981. "Biases in Dynamic Models with Fixed Effects," Econometrica, Econometric Society, Econometric Society, vol. 49(6), pages 1417-26, November.
  3. Ahn, Seung C. & Schmidt, Peter, 1995. "Efficient estimation of models for dynamic panel data," Journal of Econometrics, Elsevier, Elsevier, vol. 68(1), pages 5-27, July.
  4. Kiviet, Jan F & Phillips, Garry D A, 1992. "Exact Similar Tests for Unit Roots and Cointegration," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 54(3), pages 349-67, August.
  5. Bernard, A.B. & Jones, C.I., 1993. "Productivity Across Industries and Countries: Time Series Theory and Evidence," Working papers 93-17, Massachusetts Institute of Technology (MIT), Department of Economics.
  6. Anderson, T. W. & Hsiao, Cheng, 1982. "Formulation and estimation of dynamic models using panel data," Journal of Econometrics, Elsevier, Elsevier, vol. 18(1), pages 47-82, January.
  7. Abadir, Karim M., 1993. "Ols Bias in a Nonstationary Autoregression," Econometric Theory, Cambridge University Press, vol. 9(01), pages 81-93, January.
  8. West, Kenneth D, 1988. "Asymptotic Normality, When Regressors Have a Unit Root," Econometrica, Econometric Society, Econometric Society, vol. 56(6), pages 1397-1417, November.
  9. Im, Kyung So & Pesaran, M. Hashem & Shin, Yongcheol, 2003. "Testing for unit roots in heterogeneous panels," Journal of Econometrics, Elsevier, Elsevier, vol. 115(1), pages 53-74, July.
  10. Harris, R. & Tzavalis, E., 1996. "Inference for Unit Roots in Dynamic Panels," Discussion Papers 9604, Exeter University, Department of Economics.
  11. Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, Econometric Society, vol. 49(4), pages 1057-72, June.
  12. Chamberlain, Gary, 1984. "Panel data," Handbook of Econometrics, Elsevier, in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 2, chapter 22, pages 1247-1318 Elsevier.
  13. Evans, G B A & Savin, N E, 1984. "Testing for Unit Roots: 2," Econometrica, Econometric Society, Econometric Society, vol. 52(5), pages 1241-69, September.
  14. repec:fth:exetec:96/04 is not listed on IDEAS
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