Point-optimal panel unit root tests with serially correlated errors

Hyungsik Roger Moon, Benoit Perron, Peter C.B. Phillips

Research output: Contribution to journalArticle

3 Citations (Scopus)

Abstract

Summary: Generalizations of the point-optimal panel unit root tests of Moon, Perron and Phillips (MPP) are developed to cover cases of serially correlated errors. The resulting statistics involve two modifications relative to those of MPP: (a) the error variance is replaced by the long-run variance; (b) centring of the statistic is adjusted to correct for second-order bias effects induced by the correlation between the error and lagged dependent variable.

Original languageEnglish
Pages (from-to)338-372
Number of pages35
JournalEconometrics Journal
Volume17
Issue number3
DOIs
Publication statusPublished - 2014 Oct 1

All Science Journal Classification (ASJC) codes

  • Economics and Econometrics

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