A new score test for unit roots in heterogeneous panels -- Residual likelihood approach

Yujin Oh, Yong Bin Lim and Beong Soo So

Economics Letters, 2010, vol. 106, issue 2, 71-74

Abstract: Using the marginal likelihood of the residual, we propose new score type unit root tests for heterogeneous panels. Our tests are more powerful than the t-bar test of Im et al. (2003) for panels with many cross-sectional units and short time spans.

Keywords: Tests; for; unit; roots; Residual; likelihood; Heterogeneous; panels; Nuisance; mean; parameters (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:106:y:2010:i:2:p:71-74

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