.png){kind=icon}
.png){kind=icon}
Return
Testing for a unit root in a random coefficient panel data model
.png){kind=icon}
OA
AI
DOI：10.1016/j.jeconom.2011.11.009.png)
.png){kind=icon}
.png){kind=icon}
Share.png){kind=icon}
Save
Abstract
En 中文
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
AI Summary
Key information extracted from the uploaded paper, including a brief overview, abstract, background, key highlights, visual analysis, and future outlook.
Journal
IF:
4
Papers:
5.2K
Citations:
3.0W