TY - JOUR
T1 - Point-optimal panel unit root tests with serially correlated errors
AU - Moon, Hyungsik Roger
AU - Perron, Benoit
AU - Phillips, Peter C.B.
N1 - Publisher Copyright:
© 2014 Royal Economic Society.
Copyright:
Copyright 2020 Elsevier B.V., All rights reserved.
PY - 2014/10/1
Y1 - 2014/10/1
N2 - 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.
AB - 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.
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U2 - 10.1111/ectj.12030
DO - 10.1111/ectj.12030
M3 - Article
AN - SCOPUS:84915734033
VL - 17
SP - 338
EP - 372
JO - Econometrics Journal
JF - Econometrics Journal
SN - 1368-4221
IS - 3
ER -