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 language | English |
|---|---|
| Pages (from-to) | 215-234 |
| Number of pages | 20 |
| Journal | Journal of Econometrics |
| Volume | 134 |
| Issue number | 1 |
| DOIs | |
| State | Published - Sep 2006 |
Bibliographical note
Funding Information:The authors are very grateful for two referees for many helpful comments. This research is supported by a Grant from Korea Research Foundation (Grant #: KRF-2004-042-C00017).
Keywords
- Cross-sectional dependence
- Gaussian asymptotics
- Instrumental variable estimation
- Unit root test
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