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|Title: ||A Simple Panel-CADF Test for Unit Roots|
|Authors: ||Costantini, Mauro|
|Keywords: ||Unit Root|
Approximate p values
|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|
|Appears in Collections:||4 - REPEC|
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