A Panel-CADF Test for Unit Roots

Mauro Costantini (), Claudio Lupi () and Stephan Popp ()

Economics & Statistics Discussion Papers from University of Molise, Dept. SEGeS

Abstract: In this paper we propose the extension of the covariate-augmented Dickey Fuller (CADF) test for unit roots developed by Hansen (1995} to the panel case. We show that the extension is viable and gives power gains with respect to the time series approach. Particular attention is paid to cross-unit dependence.

Keywords: Unit root; Panel data; Cross-unit dependence (search for similar items in EconPapers)
JEL-codes: C12 C22 C23 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm and nep-ets
Date: 2007-09-10
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Persistent link: http://EconPapers.repec.org/RePEc:mol:ecsdps:esdp07039

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