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Panel Unit Root Tests and the Specification of Cross-sectional Dependence

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  • Andrea Cerasa

    (University Carlos III, Madrid)

Abstract

This paper analyzes, through Monte Carlo experiments, the robustness of several panel unit root tests to different specifications of the cross-sectional dependence. Since results show that the miss-specification of cross-correlation crucially affects the properties of the tests, a graphical approach is suggested in order to determine the model of dependence which is likely to have generated the original data.

Suggested Citation

  • Andrea Cerasa, 2008. "Panel Unit Root Tests and the Specification of Cross-sectional Dependence," Economics Bulletin, AccessEcon, vol. 3(37), pages 1-13.
    • Handle: RePEc:ebl:ecbull:eb-08c30035
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    References listed on IDEAS

    as
    1. Moon, H.R.Hyungsik Roger & Perron, Benoit, 2004. "Testing for a unit root in panels with dynamic factors," Journal of Econometrics, Elsevier, vol. 122(1), pages 81-126, September.
    2. Jörg Breitung & Samarjit Das, 2005. "Panel unit root tests under cross‐sectional dependence," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 59(4), pages 414-433, November.
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