Unit root test for short panels with serially correlated errors

Kazuhiko Hayakawa

Communications in Statistics - Theory and Methods, 2017, vol. 46, issue 8, 3891-3900

Abstract: This paper proposes a unit root test for short panels with serially correlated errors. The proposed test is based on the instrumental variables (IVs) and the generalized method of moments (GMM) estimators. An advantage of the new test over other tests is that it allows for an ARMA-type serial correlation. A Monte Carlo simulation shows that the new test has good finite sample properties. Several methods to estimate the lag orders of the ARMA structure are briefly discussed.

Date: 2017
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DOI: 10.1080/03610926.2015.1076471

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