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Pooled unit root tests in panels with a common factor

Westerlund, Joakim 2005, Pooled unit root tests in panels with a common factor, Lund University, Lund, Sweden.

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Title Pooled unit root tests in panels with a common factor
Author(s) Westerlund, Joakim
Publication date 2005
Series Working Papers
Total pages 26
Publisher Lund University
Place of publication Lund, Sweden
Keyword(s) C12
Pooled Unit Root Tests
Panel Data
Common Factor
Cross-Sectional Dependence
Monte Carlo Simulation.
Summary This paper proposes new pooled panel unit root tests that are appropriate when the data exhibit cross-sectional dependence that is generated by a single common factor. Using sequential limit arguments, we show that the tests have a limiting normal distribution that is free of nuisance parameters and that they are unbiased against heterogenous local alternatives. Our Monte Carlo results indicate that the tests perform well in comparison to other popular tests that also presumes a common factor structure for the cross-sectional dependence.
Language eng
Field of Research 150202 Financial Econometrics
Socio Economic Objective 919999 Economic Framework not elsewhere classified
HERDC Research category A6.1 Research report/technical paper
Copyright notice ©2005, Lund University
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Document type: Report
Collection: School of Accounting, Economics and Finance
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