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Testing for a Unit Root in a Random Coefficient Panel Data Model

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Author Info
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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File URL: http://hdl.handle.net/2077/21170
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Publisher Info
Paper provided by Göteborg University, Department of Economics in its series Working Papers in Economics with number 383.

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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/
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Related research
Keywords: Panel unit root test; Random coefficient autoregressive model;

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

This paper has been announced in the following NEP Reports:

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This page was last updated on 2009-12-21.

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