Advanced Search
MyIDEAS: Login to save this paper or follow this series

A Lagrange multiplier-type test for idiosyncratic unit roots in the exact factor model under misspecification

Contents:

Author Info

  • Solberger M.
  • Zhou X.

    (GSBE)

Abstract

We consider an exact factor model and derive a Lagrange multiplier-type test for unit roots in the idiosyncratic components. The asymptotic distribution of the statistic is derived under the misspecification that the differenced factors are white noise. We prove that the asymptotic distribution is independent of the distribution of the factors, and that the factors are allowed to be integrated, cointegrate, or be stationary. In a simulation study, size and power is compared with some popular second generation panel unit root tests. The simulations suggest that our statistic is well-behaved in terms of size and that it is powerful and robust in comparison with existing tests.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://pub.maastrichtuniversity.nl/14fd5ae8-ddd5-412d-a92b-2c493d4c4447
Download Restriction: no

Bibliographic Info

Paper provided by Maastricht University, Graduate School of Business and Economics (GSBE) in its series Research Memorandum with number 058.

as in new window
Length:
Date of creation: 2013
Date of revision:
Handle: RePEc:unm:umagsb:2013058

Contact details of provider:
Postal: P.O. Box 616, 6200 MD Maastricht
Phone: +31 (0)43 38 83 830
Email:
Web page: http://www.maastrichtuniversity.nl/
More information through EDIRC

Related research

Keywords: Hypothesis Testing: General; Single Equation Models; Single Variables: Models with Panel Data; Longitudinal Data; Spatial Time Series;

Find related papers by JEL classification:

This paper has been announced in the following NEP Reports:

References

No references listed on IDEAS
You can help add them by filling out this form.

Citations

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:unm:umagsb:2013058. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Charles Bollen).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.