Testing for unit root in nonlinear heterogeneous panels
We develop unit root tests for nonlinear heterogeneous panels where the alternative hypothesis is an exponential smooth transition (ESTAR) model, and provide their small sample properties. We apply our tests for investigating the income convergence hypothesis in the OECD sample.
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- Kapetanios, George & Shin, Yongcheol & Snell, Andy, 2003. "Testing for a unit root in the nonlinear STAR framework," Journal of Econometrics, Elsevier, vol. 112(2), pages 359-379, February.
- Pesaran, M.H., 2003.
"A Simple Panel Unit Root Test in the Presence of Cross Section Dependence,"
Cambridge Working Papers in Economics
0346, Faculty of Economics, University of Cambridge.
- M. Hashem Pesaran, 2007. "A simple panel unit root test in the presence of cross-section dependence," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(2), pages 265-312.
- Michael, Panos & Nobay, A Robert & Peel, David A, 1997.
"Transactions Costs and Nonlinear Adjustment in Real Exchange Rates: An Empirical Investigation,"
Journal of Political Economy,
University of Chicago Press, vol. 105(4), pages 862-879, August.
- Tom Doan, "undated". "RATS programs to replicate Michael-Nobay-Peel ESTAR models," Statistical Software Components RTZ00113, Boston College Department of Economics.
- Im, Kyung So & Pesaran, M. Hashem & Shin, Yongcheol, 2003.
"Testing for unit roots in heterogeneous panels,"
Journal of Econometrics,
Elsevier, vol. 115(1), pages 53-74, July.
- Pasaran, M.H. & Im, K.S. & Shin, Y., 1995. "Testing for Unit Roots in Heterogeneous Panels," Cambridge Working Papers in Economics 9526, Faculty of Economics, University of Cambridge.
- Tom Doan, "undated". "IPSHIN: RATS procedure to implement Im, Pesaran and Shin panel unit root test," Statistical Software Components RTS00098, Boston College Department of Economics.
- Balke, Nathan S. & Fomby, Thomas B., 1992.
9209, Federal Reserve Bank of Dallas.
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