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Cross-Sectional and Serial Correlation in a Small-Sample Homogeneous Panel Data Unit Root Test

Jönsson, Kristian LU (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.
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author
organization
publishing date
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
2008-01-16 11:59:47
date last changed
2017-01-01 04:54:32
@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},
  volume       = {12},
  year         = {2005},
}