Robust tests for unit roots in heterogeneous panels

We propose a robust test for unit roots in dynamic heterogeneous panels based on the sum of sign-type test statistics across the groups. Our test has an exact binomial null distribution and is consistent for a wide class of partially stationary processes with heterogeneous heavy-tailed errors. Monte...

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Veröffentlicht in:Economics letters 2004-07, Vol.84 (1), p.35-41
Hauptverfasser: Oh, Yu Jin, So, Beong Soo
Format: Artikel
Sprache:eng
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Zusammenfassung:We propose a robust test for unit roots in dynamic heterogeneous panels based on the sum of sign-type test statistics across the groups. Our test has an exact binomial null distribution and is consistent for a wide class of partially stationary processes with heterogeneous heavy-tailed errors. Monte-Carlo simulation shows that the new test has a stable size and is more powerful than the tests based on the ordinary least squares estimators (OLSE) in heterogeneous panels with heavy-tailed errors.
ISSN:0165-1765
1873-7374
DOI:10.1016/j.econlet.2003.12.009