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A Panel-CADF Test for Unit Roots Author info | Abstract | Publisher info | Download info | Related research | Statistics Costantini, Mauro ()
Lupi, Claudio ()
Popp, Stephan ()
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In this paper we propose the extension of the covariate-augmented Dickey Fuller (CADF) test for unit roots developed by Hansen (1995} to the panel case. We show that the extension is viable and gives power gains with respect to the time series approach. Particular attention is paid to cross-unit dependence.
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Paper provided by University of Molise, Dept. SEGeS in its series Economics & Statistics Discussion Papers with number
esdp07039.
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Length: 23 pages
Date of creation: 10 Sep 2007Date of revision:
Handle: RePEc:mol:ecsdps:esdp07039Contact details of provider: Postal: Via De Sanctis, 86100 Campobasso Fax: +39-0874311124 Web page: http://www.unimol.it More information through EDIRC
For technical questions regarding this item, or to correct its listing, contact: (Claudio Lupi).
Keywords: Unit root Panel data Cross-unit dependence Find related papers by JEL classification: C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Hypothesis Testing C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data
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Im, Kyung So & Pesaran, M. Hashem & Shin, Yongcheol, 2003.
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"Testing for PPP: Should We Use Panel Methods? ,"
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Banerjee, Anindya & Massimiliano Marcellino & Chiara Osbat, 2002.
"Testing for PPP: Should We Use Panel Methods? ,"
Royal Economic Society Annual Conference 2002
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"Testing for PPP: Should we use panel methods? ,"
Empirical Economics ,
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