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Inference for Unit Roots in Dynamic Panels

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Author Info

  • Harris, R.
  • Tzavalis, E.

Abstract

This paper proposes similar unit root testing procedures for both homogenous and heterogeneous dynamic panel data models, based on least squares estimates and assuming that the time dimension of the panel data is fixed. It is shown that the limiting distribution of the tests id standard normal.

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Bibliographic Info

Paper provided by Exeter University, Department of Economics in its series Discussion Papers with number 9604.

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Length: 32 pages
Date of creation: 1996
Date of revision:
Handle: RePEc:exe:wpaper:9604

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Postal: Streatham Court, Rennes Drive, Exeter EX4 4PU
Phone: (01392) 263218
Fax: (01392) 263242
Web page: http://business-school.exeter.ac.uk/about/departments/economics/
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Related research

Keywords: PANEL DATA; UNIT ROOTS; ECONOMIC MODELS;

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Cited by:
  1. Alexia Gaudeul & Caterina Giannetti, 2011. "The role of reciprocation in social network formation, with an application to blogging," Jena Economic Research Papers 2011-015, Friedrich-Schiller-University Jena, Max-Planck-Institute of Economics.
  2. Bernhardsen, Tom, 2000. "The relationship between interest rate differentials and macroeconomic variables: a panel data study for European countries," Journal of International Money and Finance, Elsevier, vol. 19(2), pages 289-308, April.
  3. Zapata, Hector O. & Paudel, Krishna P., 2005. "Nonstationarity in the Specification of the Environmental Kuznets Curve," 2005 Annual meeting, July 24-27, Providence, RI 19270, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  4. Scott, K. Rebecca, 2011. "Demand and Price Volatility: Rational Habits in International Gasoline Demand," Department of Agricultural & Resource Economics, UC Berkeley, Working Paper Series qt2q87432b, Department of Agricultural & Resource Economics, UC Berkeley.
  5. Harris, Richard D. F. & Tzavalis, Elias, 1999. "Inference for unit roots in dynamic panels where the time dimension is fixed," Journal of Econometrics, Elsevier, vol. 91(2), pages 201-226, August.
  6. Nehring, Richard F. & Martin, Andrew & Fernandez-Cornejo, Jorge & Hallahan, Charles B. & Vialou, Alexandre & Wechsler, Seth James & Grube, Arthur, 2011. "Impact of GE Crop Adoption on Quality-Adjusted Herbicide Use in U.S. Corn Production," 2011 Annual Meeting, July 24-26, 2011, Pittsburgh, Pennsylvania 103369, Agricultural and Applied Economics Association.
  7. Levin, Andrew & Lin, Chien-Fu & James Chu, Chia-Shang, 2002. "Unit root tests in panel data: asymptotic and finite-sample properties," Journal of Econometrics, Elsevier, vol. 108(1), pages 1-24, May.

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