Inference for Unit Roots in Dynamic Panels with Heteroscedastic and Serially Correlated Errors
AbstractIn this paper we introduce a unit root test for dynamic panel data models, allowing for cross-sectional heteroscedasticity and serial correlation in the disturbance term. The limiting distribution of the test statistic is derived under the assumption that the time dimension of the panel is fixed. The test statistic is based on the pooled Least Squares estimator of the autoregressive coefficient of the panel data model, adjusted for the inconsistency that arises due to the serial correlation of the disturbance term. The limiting distribution of the test is normal with a variance that depends on the serial correlation and heteroscedasticity nuisance parameters. The paper examines the consequences of ignoring heteroscedasticity and serial correlation in panel data unit root tests.
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Bibliographic InfoPaper provided by Exeter University, Department of Economics in its series Discussion Papers with number 9806.
Date of creation: 1998
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MODELS ; ECONOMETRIC MODELS ; ECONOMETRICS;
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- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
- C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Longitudinal Data; Spatial Time Series
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