Testing for unit roots in short dynamic panels with serially correlated and heteroskedastic disturbance terms
AbstractIn this paper we introduce fixed-T unit root tests for panel data models with serially correlated and heteroscedastic disturbance terms. The tests are based on pooled least squares estimators for the autoregressive coefficient of the AR(1) panel model adjusted for their inconsistency. The proposed test statistics have normal limiting distributions when the cross-section dimension of the panel grows large, provided a condition involving the 4+Î´-th order moments of the first differences of the data is satisfied. Monte Carlo evidence suggests that the tests have empirical size close to the nominal level and considerable power, even for MA(1) disturbance terms which exhibit strong negative autocorrelation.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by International Conferences on Panel Data in its series 10th International Conference on Panel Data, Berlin, July 5-6, 2002 with number B5-1.
Date of creation: Mar 2002
Date of revision:
Contact details of provider:
Other versions of this item:
- Hugo Kruiniger & Elias Tzavalis, 2002. "Testing for Unit Roots in Short Dynamic Panels with Serially Correlated and Heteroscedastic Disturbance Terms," Working Papers 459, Queen Mary, University of London, School of Economics and Finance.
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
This paper has been announced in the following NEP Reports:
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Steve Bond & Céline Nauges & Frank Windmeijer, 2005. "Unit roots: identification and testing in micro panels," CeMMAP working papers CWP07/05, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Giannetti, C., 2008. "Unit Roots and the Dynamics of Market Shares: An Analysis Using Italian Banking Micro-Panel," Discussion Paper 2008-44, Tilburg University, Center for Economic Research.
- Yiannis Karavias & Elias Tzavalis, . "The local power of fixed-T panel unit root tests allowing for serially correlated errors," Discussion Papers 12/01, University of Nottingham, Granger Centre for Time Series Econometrics.
- Karavias, Yiannis & Tzavalis, Elias, 2013.
"The Power Performance of Fixed-T Panel Unit Root Tests allowing for Structural Breaks,"
46012, University Library of Munich, Germany.
- Yiannis Karavias & Elias Tzavalis, . "The power performance of fixed-T panel unit root tests allowing for structural breaks," Discussion Papers 13/01, University of Nottingham, Granger Centre for Time Series Econometrics.
- Karavias, Yiannis & Tzavalis, Elias, 2012. "On the Local Power of Fixed T Panel Unit Root Tests with Serially Correlated Errors," MPRA Paper 43131, University Library of Munich, Germany.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Sune Karlsson).
If references are entirely missing, you can add them using this form.