Panel Unit Root Tests and the Specification of Cross-sectional Dependence

Andrea Cerasa ()
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Andrea Cerasa: University Carlos III, Madrid

Economics Bulletin, 2008, vol. 3, issue 37, 1-13

Abstract: This paper analyzes, through Monte Carlo experiments, the robustness of several panel unit root tests to different specifications of the cross-sectional dependence. Since results show that the miss-specification of cross-correlation crucially affects the properties of the tests, a graphical approach is suggested in order to determine the model of dependence which is likely to have generated the original data.

Keywords: Panel; unit; root; tests (search for similar items in EconPapers)
Date: 2008-07-18
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