Article ID Journal Published Year Pages File Type
416122 Computational Statistics & Data Analysis 2009 9 Pages PDF
Abstract

For panel models with random individual and time effects, locally best invariant (LBI) tests are constructed for the null hypothesis of stationarity against the alternative hypothesis of panel unit root. Finite sample properties of the proposed test and an existing test are compared by a Monte Carlo simulation.

Related Topics
Physical Sciences and Engineering Computer Science Computational Theory and Mathematics
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Optimal tests against the alternative hypothesis of panel unit roots
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