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Testing for unit roots in short dynamic panels with serially correlated and heteroskedastic disturbance terms

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Author Info
Hugo Kruiniger () (Department of Economics, Queen Mary, University of London)
Elias Tzavalis () (Department of Economics, Queen Mary, University of London)

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Paper 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.

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Date of creation: Mar 2002
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Handle: RePEc:cpd:pd2002:b5-1

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  1. Edith Madsen, 2003. "Unit root inference in panel data models where the time-series dimension is fixed: A comparison of different tests," CAM Working Papers 2003-13, University of Copenhagen. Department of Economics. Centre for Applied Microeconometrics. [Downloadable!]
  2. 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. [Downloadable!]
  3. 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. [Downloadable!]
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