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Inference for unit roots in dynamic panels where the time dimension is fixed

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  • Harris, Richard D. F.
  • Tzavalis, Elias

Abstract

Implementation of Harris-Tzavalis test for unit roots in panel data. This has a null of a unit root, with asymptotics assuming large N, fixed T. Harris and Tzavalis(1999), "Inference for unit roots in dynamic panels where the time dimension is fixed". Journal of Econometrics, vol 91, pp 201–226.
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Suggested Citation

  • Harris, Richard D. F. & Tzavalis, Elias, 1999. "Inference for unit roots in dynamic panels where the time dimension is fixed," Journal of Econometrics, Elsevier, vol. 91(2), pages 201-226, August.
  • Handle: RePEc:eee:econom:v:91:y:1999:i:2:p:201-226
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    References listed on IDEAS

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    1. Quah, Danny, 1994. "Exploiting cross-section variation for unit root inference in dynamic data," Economics Letters, Elsevier, vol. 44(1-2), pages 9-19.
    2. Kiviet, Jan F & Phillips, Garry D A, 1992. "Exact Similar Tests for Unit Roots and Cointegration," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 54(3), pages 349-367, August.
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    7. Nickell, Stephen J, 1981. "Biases in Dynamic Models with Fixed Effects," Econometrica, Econometric Society, vol. 49(6), pages 1417-1426, November.
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    9. Abadir, Karim M., 1993. "Ols Bias in a Nonstationary Autoregression," Econometric Theory, Cambridge University Press, vol. 9(1), pages 81-93, January.
    10. 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.
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    12. Harris, R. & Tzavalis, E., 1996. "Inference for Unit Roots in Dynamic Panels," Discussion Papers 9604, University of Exeter, Department of Economics.
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