Testing for a Unit Root in a Random Coefficient Panel Data Model

Joakim Westerlund and Rolf Larsson
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Rolf Larsson: Uppsala University

No 383, Working Papers in Economics from University of Gothenburg, Department of Economics

Abstract: This paper proposes a new unit root test 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 distribution of the test statistic is derived and simulation results are provided to suggest that it performs very well in small samples.

Keywords: Panel unit root test; Random coefficient autoregressive model (search for similar items in EconPapers)
JEL-codes: C13 C33 (search for similar items in EconPapers)
Pages: 52 pages
Date: 2009-10-01
New Economics Papers: this item is included in nep-ets
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http://hdl.handle.net/2077/21170 (text/html)

Related works:
Journal Article: Testing for a unit root in a random coefficient panel data model (2012)
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