An instrumental variable approach for panel unit root tests under cross-sectional dependence

Dong Wan Shin, Seungho Kang

Research output: Contribution to journalArticle

19 Citations (Scopus)

Abstract

For dynamic panel models with cross-sectional dependence, several unit root tests are constructed using a Huber-type instrument, whose null asymptotics are standard Gaussian and do not depend on nuisance parameters. A Monte-Carlo simulation shows that the proposed tests have better sizes and comparable powers relative to other two existing tests developed for cross-sectionally dependent dynamic panel models.

Original languageEnglish
Pages (from-to)215-234
Number of pages20
JournalJournal of Econometrics
Volume134
Issue number1
DOIs
Publication statusPublished - 2006 Sep 1

Fingerprint

Unit Root Tests
Instrumental Variables
Nuisance Parameter
Null
Monte Carlo Simulation
Dependent
Model
Dynamic panel model
Cross-sectional dependence
Instrumental variables
Panel unit root tests
Standards
Hub
Monte Carlo simulation
Nuisance parameter
Unit root tests

All Science Journal Classification (ASJC) codes

  • Economics and Econometrics

Cite this

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An instrumental variable approach for panel unit root tests under cross-sectional dependence. / Shin, Dong Wan; Kang, Seungho.

In: Journal of Econometrics, Vol. 134, No. 1, 01.09.2006, p. 215-234.

Research output: Contribution to journalArticle

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