Testing for unit root in nonlinear heterogeneous panels

Nuri Ucar and Tolga Omay

Economics Letters, 2009, vol. 104, issue 1, pages 5-8

Abstract: We develop unit root tests for nonlinear heterogeneous panels where the alternative hypothesis is an exponential smooth transition (ESTAR) model, and provide their small sample properties. We apply our tests for investigating the income convergence hypothesis in the OECD sample.

Keywords: Nonlinear; Panel; unit; root; Sieve; bootstrap (search for similar items in EconPapers)
Date: 2009

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Persistent link: http://EconPapers.repec.org/RePEc:eee:ecolet:v:104:y:2009:i:1:p:5-8

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