PANEL DATA UNIT ROOT TEST WITH FIXED TIME DIMENSION

被引：3

作者：

Carrion-i-Silvestre, Josep Lluis ^{[1
]}

Hadri, Kaddour ^{[2
]}

机构：

[1] Univ Barcelona, Dept Econometr Stat & Spanish Econ, AQR IREA Res Grp, Barcelona 08034, Spain

[2] Queens Univ Belfast, Sch Management, Belfast BT7 1NN, Antrim, North Ireland

来源：

BULLETIN OF ECONOMIC RESEARCH | 2010年 / 62卷 / 03期

关键词：

fixed time dimension; panel data unit root; C12; C22;

D O I：

10.1111/j.1467-8586.2009.00323.x

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

The consideration of the limit theory in which T is fixed and N is allowed to go to infinity improves the finite-sample properties of the tests and avoids the imposition of the relative rates at which T and N go to infinity.

引用

页码：269 / 277

页数：9

共 13 条

[1]

[Anonymous], 459 U LOND DEP EC

[2]

Baltagi H. D., 2005, Econometric analysis of panel data, V3rd ed.

[3]

Banerjee A, 1999, OXFORD B ECON STAT, V61, P607, DOI 10.1111/1468-0084.61.s1.12

[4] ON THE THEORY OF TESTING FOR UNIT ROOTS IN OBSERVED TIME-SERIES [J].

BHARGAVA, A .

REVIEW OF ECONOMIC STUDIES, 1986, 53 (03) :369-384

[5]

BREITUNG J, 2008, ECONOMETRICS PANEL D, pCH9

[6] Panel data unit roots tests: The role of serial correlation and the time dimension [J].

De Wachter, Stefan ;

Harris, Richard D. F. ;

Tzavalis, Elias .

JOURNAL OF STATISTICAL PLANNING AND INFERENCE, 2007, 137 (01) :230-244

[7]

DEBLANDER R, 2004, UNIT ROOT TESTS PANE

[8] Testing for stationarity in heterogeneous panel data where the time dimension is finite [J].

Hadri, K ;

Larsson, R .

ECONOMETRICS JOURNAL, 2005, 8 (01) :55-69

[9]

HADRI K, 2002, TESTING STATIONARITY

[10] Inference for unit roots in dynamic panels where the time dimension is fixed [J].

Harris, RDF ;

Tzavalis, E .

JOURNAL OF ECONOMETRICS, 1999, 91 (02) :201-226

← 1 2 →