Cross-Sectional and Serial Correlation in a Small-Sample Homogeneous Panel Data Unit Root Test
(2005) In Applied Economics Letters 12(14). p.899-905- Abstract
- In this paper, response surface parameters are provided that can be used to obtain critical values for an augmentation of an existing homogeneous panel data unit root test. The augmentation is performed to account for serial correlation in the disturbances. As the existing panel data unit root test is robust against cross-sectional correlation, the augmented test is robust against both cross-sectional and serial correlation. By running a Monte Carlo simulation study, the small-sample properties of the augmented test are shown to be good.
Please use this url to cite or link to this publication:
https://lup.lub.lu.se/record/926055
- author
- Jönsson, Kristian LU
- organization
- publishing date
- 2005
- type
- Contribution to journal
- publication status
- published
- subject
- in
- Applied Economics Letters
- volume
- 12
- issue
- 14
- pages
- 899 - 905
- publisher
- Routledge
- external identifiers
-
- wos:000233637500008
- scopus:31144451385
- ISSN
- 1466-4291
- DOI
- 10.1080/13504850500359510
- language
- English
- LU publication?
- yes
- id
- 1100376d-d561-4a20-a6f8-876cd0a7eae1 (old id 926055)
- date added to LUP
- 2016-04-01 12:10:27
- date last changed
- 2022-03-21 00:33:50
@article{1100376d-d561-4a20-a6f8-876cd0a7eae1, abstract = {{In this paper, response surface parameters are provided that can be used to obtain critical values for an augmentation of an existing homogeneous panel data unit root test. The augmentation is performed to account for serial correlation in the disturbances. As the existing panel data unit root test is robust against cross-sectional correlation, the augmented test is robust against both cross-sectional and serial correlation. By running a Monte Carlo simulation study, the small-sample properties of the augmented test are shown to be good.}}, author = {{Jönsson, Kristian}}, issn = {{1466-4291}}, language = {{eng}}, number = {{14}}, pages = {{899--905}}, publisher = {{Routledge}}, series = {{Applied Economics Letters}}, title = {{Cross-Sectional and Serial Correlation in a Small-Sample Homogeneous Panel Data Unit Root Test}}, url = {{http://dx.doi.org/10.1080/13504850500359510}}, doi = {{10.1080/13504850500359510}}, volume = {{12}}, year = {{2005}}, }