Panel unit root tests under cross section dependence with recursive mean adjustment

Donggyu Sul ()

Economics Letters, 2009, vol. 105, issue 1, pages 123-126

Abstract: Utilizing recursive mean adjustment (RMA) we provide two unit root tests: the covariate RMA unit root test and the panel feasible generalized RMA unit root test. The proposed panel unit root tests are precise and powerful, especially when TÂ >Â N.

Keywords: Recursive; detrending; Dynamic; factors; Panel; unit; root; test; Covariate; unit; root; test; Cross; section; dependence (search for similar items in EconPapers)
Date: 2009

Downloads: (external link)
http://www.sciencedirect.com/science/article/B6V84 ... 9c99424ed4b3d7693359
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:eee:ecolet:v:105:y:2009:i:1:p:123-126

Access Statistics for this article

Economics Letters is edited by E. Maskin

More articles in Economics Letters from Elsevier
Series data maintained by Heidi Boesdal ().