Testing for a unit root in a random coefficient panel data model

Joakim Westerlund and Rolf Larsson

Journal of Econometrics, 2012, vol. 167, issue 1, 254-273

Abstract: This paper proposes new unit root tests in the context of a random autoregressive coefficient panel data model, in which the null of a unit root corresponds to the joint restriction that the autoregressive coefficient has unit mean and zero variance. The asymptotic distributions of the test statistics are derived and simulation results are provided to suggest that they perform very well in small samples.

Keywords: Panel unit root test; Random coefficient autoregressive model; Local asymptotic power (search for similar items in EconPapers)
JEL-codes: C13 C33 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (7)

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Related works:
Working Paper: Testing for a Unit Root in a Random Coefficient Panel Data Model (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:167:y:2012:i:1:p:254-273

DOI: 10.1016/j.jeconom.2011.11.009

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