کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
417906 681591 2008 14 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Homogenous panel unit root tests under cross sectional dependence: Finite sample modifications and the wild bootstrap
موضوعات مرتبط
مهندسی و علوم پایه مهندسی کامپیوتر نظریه محاسباتی و ریاضیات
پیش نمایش صفحه اول مقاله
Homogenous panel unit root tests under cross sectional dependence: Finite sample modifications and the wild bootstrap
چکیده انگلیسی

First generation panel unit root tests are known to be invalid under cross sectional dependence. Focussing on the subclass of homogenous tests, three extensions of existing approaches are proposed. First, a test based on a generalized variance estimator is suggested for panels with small time and relatively large cross sectional dimension. Second, the application of refined residuals in variance estimators is proposed to reduce finite sample biases. Third, the wild bootstrap is proved to be an asymptotically valid method of resampling homogenous panel unit root test statistics. A Monte Carlo study shows that the wild bootstrap yields unbiased inference, even in cases where existing procedures are biased. Most accurate results under the null hypothesis are obtained by resampling robust statistics while there is no, or minor, evidence of power loss invoked by the wild bootstrap. An empirical illustration underpins that the current account to GDP ratio is likely panel stationary.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Computational Statistics & Data Analysis - Volume 53, Issue 1, 15 September 2008, Pages 137–150
نویسندگان
, ,