Unit root tests for cross-sectionally dependent seasonal panels

Yonghee Lee; Dong Wan Shin

doi:10.1016/j.econlet.2006.05.021

Unit root tests for cross-sectionally dependent seasonal panels

Yonghee Lee, Dong Wan Shin

Department of Statistics

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

2 Scopus citations

Abstract

Unit root tests are developed for seasonal panel models with cross-sectionally dependent errors. The tests are based on an instrumental variable estimator and have standard Gaussian null asymptotics.

Original language	English
Pages (from-to)	311-317
Number of pages	7
Journal	Economics Letters
Volume	93
Issue number	3
DOIs	https://doi.org/10.1016/j.econlet.2006.05.021
State	Published - Dec 2006

Bibliographical note

Funding Information:
This work was supported by the Korea Research Foundation Grant funded by the Korean Government (MOEHRD) (KRF-2005-070-C00021).

Keywords

Instrumental variable estimation
Seasonal unit root

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10.1016/j.econlet.2006.05.021

Cite this

@article{1f0e9293072846d58dff13ce3369805d,

title = "Unit root tests for cross-sectionally dependent seasonal panels",

abstract = "Unit root tests are developed for seasonal panel models with cross-sectionally dependent errors. The tests are based on an instrumental variable estimator and have standard Gaussian null asymptotics.",

keywords = "Instrumental variable estimation, Seasonal unit root",

author = "Yonghee Lee and Shin, {Dong Wan}",

note = "Funding Information: This work was supported by the Korea Research Foundation Grant funded by the Korean Government (MOEHRD) (KRF-2005-070-C00021). ",

year = "2006",

month = dec,

doi = "10.1016/j.econlet.2006.05.021",

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journal = "Economics Letters",

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AU - Lee, Yonghee

AU - Shin, Dong Wan

N1 - Funding Information: This work was supported by the Korea Research Foundation Grant funded by the Korean Government (MOEHRD) (KRF-2005-070-C00021).

PY - 2006/12

Y1 - 2006/12

N2 - Unit root tests are developed for seasonal panel models with cross-sectionally dependent errors. The tests are based on an instrumental variable estimator and have standard Gaussian null asymptotics.

AB - Unit root tests are developed for seasonal panel models with cross-sectionally dependent errors. The tests are based on an instrumental variable estimator and have standard Gaussian null asymptotics.

KW - Instrumental variable estimation

KW - Seasonal unit root

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U2 - 10.1016/j.econlet.2006.05.021

DO - 10.1016/j.econlet.2006.05.021

M3 - Article

AN - SCOPUS:33751176680

SN - 0165-1765

VL - 93

SP - 311

EP - 317

JO - Economics Letters

JF - Economics Letters

IS - 3

ER -

Unit root tests for cross-sectionally dependent seasonal panels

Abstract

Bibliographical note

Keywords

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Cite this