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

Donggyu Sul ()

Economics Letters, 2009, vol. 105, issue 1, 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
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Citations: View citations in EconPapers (22)

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