Point-optimal panel unit root tests with serially correlated errors

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

doi:10.1111/ectj.12030

Point-optimal panel unit root tests with serially correlated errors

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

Department of Economics

Research output: Contribution to journal › Article › peer-review

4 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 language	English
Pages (from-to)	338-372
Number of pages	35
Journal	Econometrics Journal
Volume	17
Issue number	3
DOIs	https://doi.org/10.1111/ectj.12030
Publication status	Published - 2014 Oct 1

Bibliographical note

Publisher Copyright:
© 2014 Royal Economic Society.

All Science Journal Classification (ASJC) codes

Economics and Econometrics

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10.1111/ectj.12030

Cite this

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Point-optimal panel unit root tests with serially correlated errors

Abstract

Bibliographical note

All Science Journal Classification (ASJC) codes

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