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Point-optimal panel unit root tests with serially correlated errors
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DOI：10.1111/ectj.12030.png)
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Abstract
En 中文
Generalizations of the point-optimal panel unit root tests of Moon, Perron and Phillips (MPP) are developed to cover cases of serially correlated errors. The resulting statistics involve two modifications relative to those of MPP: (a) the error variance is replaced by the long-run variance; (b) centring of the statistic is adjusted to correct for second-order bias effects induced by the correlation between the error and lagged dependent variable.
Keywords:
Bias correction
Incidental trends
Long-run variance
Point-optimal test
Serial dependence
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