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Please use this identifier to cite or link to this item: http://hdl.handle.net/2192/111

 
Title: A Panel-CADF Test for Unit Roots
Authors: Costantini, Mauro
Lupi, Claudio
Popp, Stephan
Keywords: Unit root
Panel data
Cross-unit dependence
Issue Date: 10-Sep-2007
Abstract: In this paper we propose the extension of the covariate-augmented Dickey Fuller (CADF) test for unit roots developed by Hansen (1995} to the panel case. We show that the extension is viable and gives power gains with respect to the time series approach. Particular attention is paid to cross-unit dependence.
URI: http://hdl.handle.net/2192/111
Appears in Collections:4 - REPEC
Econpapers

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