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Testing for a unit root in a random coefficient panel data model
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DOI：10.1016/j.jeconom.2011.11.009.png)
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Abstract
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This paper proposes new unit root tests in the context of a random autoregressive coefficient panel data model, in which the null of a unit root corresponds to the joint restriction that the autoregressive coefficient has unit mean and zero variance. The asymptotic distributions of the test statistics are derived and simulation results are provided to suggest that they perform very well in small samples. (C) 2011 Elsevier B.V. All rights reserved.
Keywords:
Panel unit root test
Random coefficient autoregressive model
Local asymptotic power
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