Panel unit root tests under cross section dependence with recursive mean adjustment

C-Tier

Journal: Economics Letters

Year: 2009

Volume: 105

Issue: 1

Pages: 123-126

Authors (1)

Sul, Donggyu (University of Texas-Dallas)

Score contribution per author:

1.005 = (α=2.01 / 1 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

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Abstract

Utilizing recursive mean adjustment (RMA) we provide two unit root tests: the covariate RMA unit root test and the panel feasible generalized RMA unit root test. The proposed panel unit root tests are precise and powerful, especially when TÂ >Â N.

Panel unit root tests under cross section dependence with recursive mean adjustment

Authors (1)

Abstract

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