Testing for a Unit Root in a Random Coefficient Panel Data Model
2012 (English)In: Journal of Econometrics, ISSN 0304-4076, E-ISSN 1872-6895, Vol. 167, no 1, 254-273 p.Article in journal (Refereed) Published
This paper proposes new unit root tests in the context of a random autoregressive coefficient panel data model, in which the null of a unit root corresponds to the joint restriction that the autoregressive coefficient has unit mean and zero variance. The asymptotic distributions of the test statistics are derived and simulation results are provided to suggest that they perform very well in small samples.
Place, publisher, year, edition, pages
2012. Vol. 167, no 1, 254-273 p.
Panel unit root test, Random coefficient autoregressive model, Local asymptotic power
IdentifiersURN: urn:nbn:se:uu:diva-163026DOI: 10.1016/j.jeconom.2011.11.009ISI: 000300863300016OAI: oai:DiVA.org:uu-163026DiVA: diva2:462471