Cross-sectional and serial correlation in a small-sample homogeneous panel data unit root test

Kristian Jönsson

Applied Economics Letters, 2005, vol. 12, issue 14, 899-905

Abstract: In this paper, response surface parameters are provided that can be used to obtain critical values for an augmentation of an existing homogeneous panel data unit root test. The augmentation is performed to account for serial correlation in the disturbances. As the existing panel data unit root test is robust against cross-sectional correlation, the augmented test is robust against both cross-sectional and serial correlation. By running a Monte Carlo simulation study, the small-sample properties of the augmented test are shown to be good.

Date: 2005
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (32)

Downloads: (external link)
http://www.informaworld.com/openurl?genre=article& ... 40C6AD35DC6213A474B5 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:apeclt:v:12:y:2005:i:14:p:899-905

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAEL20

DOI: 10.1080/13504850500359510

Access Statistics for this article

Applied Economics Letters is currently edited by Anita Phillips

More articles in Applied Economics Letters from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().