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Point‐optimal panel unit root tests with serially correlated errors

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  • Hyungsik Roger Moon
  • Benoit Perron
  • Peter C. B. Phillips

Abstract

Generalizations of the point‐optimal panel unit root tests of Moon, Perron and Phillips (MPP) are developed to cover cases of serially correlated errors. The resulting statistics involve two modifications relative to those of MPP: (a) the error variance is replaced by the long‐run variance; (b) centring of the statistic is adjusted to correct for second‐order bias effects induced by the correlation between the error and lagged dependent variable.

Suggested Citation

  • Hyungsik Roger Moon & Benoit Perron & Peter C. B. Phillips, 2014. "Point‐optimal panel unit root tests with serially correlated errors," Econometrics Journal, Royal Economic Society, vol. 17(3), pages 338-372, October.
  • Handle: RePEc:wly:emjrnl:v:17:y:2014:i:3:p:338-372
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    File URL: http://hdl.handle.net/10.1111/ectj.12030
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    Cited by:

    1. Maxwell L. King & Sivagowry Sriananthakumar, 2015. "Point Optimal Testing: A Survey of the Post 1987 Literature," Monash Econometrics and Business Statistics Working Papers 5/15, Monash University, Department of Econometrics and Business Statistics.
    2. Skrobotov, Anton & Turuntseva, Marina, 2017. "Testing the Hypothesis of a Unit Root for Independent Panels," Working Papers 021707, Russian Presidential Academy of National Economy and Public Administration.

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