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Cross-section Dependency and the Effects of Nonlinearity in Panel Unit Testing

Furkan Emirmahmutoðlu
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Furkan Emirmahmutoðlu: Gazi University, Department of Econometrics

Authors registered in the RePEc Author Service: Furkan Emirmahmutoglu ()

Econometrics Letters, 2014, vol. 1, issue 1, 30-36

Abstract: In this study, we have analyzed the Cross Section Dependence (CSD) problem that is frequently encountered in a panel unit root setting by using the Pesaran (2004, 2008) CD tests. For this purpose we have generated cross sectionally dependent data and investigated the effects of nonlinear modeling on the cross section dependency problem inherited in panel analysis. The simulation study shows us that the nonlinear models remedy some part of this CSD.

Keywords: Panel Unit Root; Cross Section Dependency Bias; Cross Section Dependency Test. (search for similar items in EconPapers)
JEL-codes: C12 C22 F31 (search for similar items in EconPapers)
Date: 2014
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