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
Schlagworte:	Error Heterogeneous panels Methodology Model testing Monte Carlo simulation Panel surveys Sign test Tests for unit roots
Online-Zugang:	Volltext
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