| Author(s) |
Hoang, Nam
|
| Publication Date |
2006
|
| Abstract |
In this paper, the performances of panel data unit root tests are considered and various estimation methods under different properties of data are compared. It is shown that weighted symmetric estimation increases the power of the tests without adversely affecting the size, for most data properties and most panels of dimensions N and T. The presence of serial correlation and cross-sectional correlation does not reduce the power of the tests significantly.
|
| Link | |
| Language |
en
|
| Series |
Discussion Papers in Economics
|
| Title |
New Tests For Cointegration in Heterogeneous Panels
|
| Type of document |
Working Paper
|
| Entity Type |
Publication
|
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