Arbeitspapier
Testing for unit roots in nonlinear dynamic heterogeneous panels
In this paper we present a unit root test against a nonlinear dynamic heterogenous panel with each cross section modelled as an LSTAR model. All parameters are viewed as cross section specific. We allow for serially correlated residuals over time and heterogenous variance among cross sections. The test is derived under three special cases: (i) the number of cross sections and observations over time are fixed, (ii) observations over time are fixed and the number of cross sections tend to infinity, and (iii) first letting the number of observations over time tend to infinity and thereafter the number of cross sections. Small sample properties of the test show modest size distortions and satisfactory power being superior to the Im, Pesaran, and Shin t-type of test. We also show clear improvements in power compared to a univariate unit root test allowing for nonlinearities under the alternative hypothesis.
- Sprache
-
Englisch
- Erschienen in
-
Series: SSE/EFI Working Paper Series in Economics and Finance ; No. 582
- Klassifikation
-
Wirtschaft
Hypothesis Testing: General
Single Equation Models; Single Variables: Panel Data Models; Spatio-temporal Models
Model Evaluation, Validation, and Selection
- Thema
-
Dynamic nonlinear heterogenous panels
Structural breaks
Unit roots
t-statistics
Central limit theorem
Unit Root Test
Dynamisches Modell
Panel
Theorie
Nichtlineares Verfahren
- Ereignis
-
Geistige Schöpfung
- (wer)
-
He, Changli
Sandberg, Rickard
- Ereignis
-
Veröffentlichung
- (wer)
-
Stockholm School of Economics, The Economic Research Institute (EFI)
- (wo)
-
Stockholm
- (wann)
-
2005
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:45 MEZ
Datenpartner
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Objekttyp
- Arbeitspapier
Beteiligte
- He, Changli
- Sandberg, Rickard
- Stockholm School of Economics, The Economic Research Institute (EFI)
Entstanden
- 2005
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