Optimal tests against the alternative hypothesis of panel unit roots

Yonghee Lee and Dong Wan Shin

Computational Statistics & Data Analysis, 2009, vol. 53, issue 6, 2275-2283

Abstract: For panel models with random individual and time effects, locally best invariant (LBI) tests are constructed for the null hypothesis of stationarity against the alternative hypothesis of panel unit root. Finite sample properties of the proposed test and an existing test are compared by a Monte Carlo simulation.

Date: 2009
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Persistent link: https://EconPapers.repec.org/RePEc:eee:csdana:v:53:y:2009:i:6:p:2275-2283

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