An instrumental variable approach for panel unit root tests under cross-sectional dependence

Dong Wan Shin, Seungho Kang

Research output: Contribution to journalArticlepeer-review

19 Scopus citations

Abstract

For dynamic panel models with cross-sectional dependence, several unit root tests are constructed using a Huber-type instrument, whose null asymptotics are standard Gaussian and do not depend on nuisance parameters. A Monte-Carlo simulation shows that the proposed tests have better sizes and comparable powers relative to other two existing tests developed for cross-sectionally dependent dynamic panel models.

Original languageEnglish
Pages (from-to)215-234
Number of pages20
JournalJournal of Econometrics
Volume134
Issue number1
DOIs
StatePublished - Sep 2006

Keywords

  • Cross-sectional dependence
  • Gaussian asymptotics
  • Instrumental variable estimation
  • Unit root test

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