ROAD ROAD Repository of Open Access Documents
 

ROAD >
Tipologia di documenti >
4 - REPEC >

Please use this identifier to cite or link to this item: http://hdl.handle.net/2192/162

 
Title: A Simple Panel-CADF Test for Unit Roots
Authors: Costantini, Mauro
Lupi, Claudio
Keywords: Unit Root
Panel data
Approximate p values
Monte Carlo
Issue Date: 9-Nov-2011
Abstract: In this paper we propose a simple extension to the panel case of the covariate- augmented Dickey Fuller (CADF) test for unit roots developed in Hansen (1995). The extension we propose is based on a p values combination approach that takes into account cross-section dependence. We show that the test is easy to compute, has good size properties and gives power gains with respect to other popular panel approaches. A procedure to compute the asymptotic p values of Hansen’s CADF test is also a s
...more
URI: http://hdl.handle.net/2192/162
Appears in Collections:4 - REPEC
Econpapers

Files in This Item:

File Description SizeFormat
ESDP11062.pdf2.74 MBAdobe PDFView/Open


This item is protected by original copyright

Recommend this item

Items in ROAD are protected by copyright, with all rights reserved, unless otherwise indicated.

 

Valid XHTML 1.0! DSpace Software Copyright © 2002-2010  Duraspace - Feedback ICT support by CINECA