Testing for Panel Unit Roots under General Cross-Sectional Dependence
In this paper we generalize four tests of multivariate linear hypothesis to panel data unit root testing. The test statistics are invariant to certain linear transformations of data and therefore simulated critical values may conveniently be used. It is demonstrated that all four tests remains well behaved in cases of where there are heterogeneous alternatives and cross-correlations between marginal variables. A Monte Carlo simulation is included to compare and contrast the tests with two well-established ones.
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18-2002, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
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