Westerlund, Joakim () (Department of Economics, School of Business, Economics and Law, Göteborg University) Larsson, Rolf (Uppsala University)
Abstract
This paper proposes a new unit root test in the context of a random autoregressive coefficient panel data model, in which the null of a unit root corresponds to the joint restriction that the autoregressive coefficient has unit mean and zero variance. The asymptotic distribution of the test statistic is derived and simulation results are provided to suggest that it performs very well in small samples.
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Publisher Info
Paper provided by Göteborg University, Department of Economics in its series Working Papers in Economics with number
383.
Length: 52 pages Date of creation: 01 Oct 2009 Date of revision: Handle: RePEc:hhs:gunwpe:0383
Contact details of provider: Postal: Department of Economics, School of Business, Economics and Law, Göteborg University Box 640, SE 405 30 GÖTEBORG, Sweden Phone: 031-773 10 00 Web page: http://www.handels.gu.se/econ/ More information through EDIRC
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Find related papers by JEL classification: C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Estimation C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data
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