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

Dong Wan Shin; Seungho Kang

doi:10.1016/j.jeconom.2005.06.021

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

Dong Wan Shin, Seungho Kang

Department of Statistics

Research output: Contribution to journal › Article › peer-review

21 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 language	English
Pages (from-to)	215-234
Number of pages	20
Journal	Journal of Econometrics
Volume	134
Issue number	1
DOIs	https://doi.org/10.1016/j.jeconom.2005.06.021
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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10.1016/j.jeconom.2005.06.021

Cite this

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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.",

keywords = "Cross-sectional dependence, Gaussian asymptotics, Instrumental variable estimation, Unit root test",

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AB - 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.

KW - Cross-sectional dependence

KW - Gaussian asymptotics

KW - Instrumental variable estimation

KW - Unit root test

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M3 - Article

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

Abstract

Bibliographical note

Keywords

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