Unit Roots and Identification in Autoregressive Panel Data Models: A Comparison of Alternative Tests
AbstractWe compare the finite sample behaviour of various unit root tests for micro panels where the number of individuals is typically large, but the number of time periods is often very small. As in this case some econometric estimators do not identify the parameters of interest when the processes are random walks, it is important to test for unit roots/identification. We find that a t-test based on OLS estimation results provides a simple robust test with high power for cases when the variance of the unobserved heterogeneity is relatively small. Its behaviour is similar to the underidentification test as proposed by Arellano, Hansen and Sentana (1999) for the GMM estimator on a first-differenced model.
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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 C5-4.
Date of creation: Mar 2002
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Generalised Method of Moments; Identification; Unit Root Tests;
Find related papers by JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- 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:
- NEP-ALL-2002-07-04 (All new papers)
- NEP-ECM-2002-07-10 (Econometrics)
- NEP-ETS-2002-07-04 (Econometric Time Series)
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