Heteroskedasticity Robust Panel Unit Root tests
This paper proposes new unit root tests for panels where the errors may be not only serial and/or cross- orrelated, but also unconditionally heteroskedastic. Despite their generality, the test statistics are shown to be very simple to implement, requiring only minimal corrections and still the limiting distributions under the null hypothesis are completely free from nuisance parameters. Monte Carlo evidence is also provided to suggest that the new tests perform well in small samples, also when compared to some of the existing tests.
|Date of creation:|
|Date of revision:|
|Contact details of provider:|| Postal: 221 Burwood Highway, Burwood 3125|
Phone: 61 3 9244 3815
Fax: +61 3 5227 2655
Web page: http://www.deakin.edu.au/buslaw/aef/index.php
More information through EDIRC
When requesting a correction, please mention this item's handle: RePEc:dkn:ecomet:fe_2014_02. 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: (Dr Susan S Sharma)
If references are entirely missing, you can add them using this form.