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Title
Panel Data Unit Roots Tests Using Various Estimation Methods
Fields of Research (FoR) 2008:
Author(s)
McNown, Robert
Publication Date
2006
Abstract
In this paper, the performances of panel data unit root tests are considered and various estimation methods under different properties of data are compared. It is shown that weighted symmetric estimation increases the power of the tests without adversely affecting the size, for most data properties and most panels of dimensions N and T. The presence of serial correlation and cross-sectional correlation does not reduce the power of the tests significantly.
Publication Type
Working Paper
Publisher
University of Colorado at Boulder, Department of Economics
Place of Publication
United States of America
HERDC Category Description
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