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Unit roots: identification and testing in micro panels

Stephen Bond (), Celine Nauges and Frank Windmeijer ()
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Stephen Bond: Institute for Fiscal Studies and Nuffield College, Oxford

No CWP07/05, CeMMAP working papers from Centre for Microdata Methods and Practice, Institute for Fiscal Studies

Abstract: We consider a number of unit root tests for micro panels where the number of individuals is typically large, but the number of time periods is often very small. As we discuss, the presence of a unit root is closely related to the identification of parameters of interest in this context. Calculations of asymptotic local power and Monte Carlo evidence indicate that two simple t-tests based on ordinary least squares estimators perform particularly well.

Keywords: Generalised Method of Moments; identification; unit root tests (search for similar items in EconPapers)
JEL-codes: C12 C23 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm and nep-ets
Date: 2005-07-06
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Persistent link: https://EconPapers.repec.org/RePEc:ifs:cemmap:07/05

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