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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Paper provided by University of Exeter, School of Business and Economics in its series Discussion Papers with number
96/04.
Length: 32 pages Date of creation: 1996 Date of revision: Handle: RePEc:fth:exetec:96/04
Contact details of provider: Postal: School of Business and Economics University of Exeter Streatham Court Rennes Drive Exeter EX4 4PU Phone: (01392) 263218 Fax: (01392) 263242 Web page: http://www.exeter.ac.uk/sobe/ More information through EDIRC
Find related papers by JEL classification: C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data F43 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Economic Growth of Open Economies
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