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

Journal of Econometrics

Volumn 134, Issue 1, 2006, Pages 215-234

  Shin, Dong Wan ^a   Kang, Seungho ^a  

^a Ewha Womans University   (South Korea)

Author keywords

Cross sectional dependence; Gaussian asymptotics; Instrumental variable estimation; Unit root test

Indexed keywords

ASYMPTOTIC STABILITY; COMPUTER SIMULATION; MATHEMATICAL MODELS; MONTE CARLO METHODS; PARAMETER ESTIMATION;

CROSS-SECTIONAL DEPENDENCE; GAUSSIAN ASYMPTOTICS; INSTRUMENTAL VARIABLE ESTIMATION; UNIT ROOT TEST;

INSTRUMENT TESTING;

EID: 33746267216     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2005.06.021     Document Type: Article

References (19)

1. Bai J., and Ng S. A PANIC attack on unit roots and cointegration. Econometrica 71 (2004) 135-171
2. Chang Y. Nonlinear IV unit root tests in panels with cross-sectional dependency. Journal of Econometrics 110 (2002) 261-292
3. Choi I. Unit root tests for panel data. Journal of International Money and Finance 20 (2001) 249-272
4. Dickey D.A., and Fuller W.A. Distribution of the estimators for autoregressive time series with a unit root. Journal of American Statistical Association 74 (1979) 427-431
5. Huber P.J. Robust Statistics (1981), Wiley, New York
6. Im, K.S., Pesaran, M.H., 2003. On the panel unit root tests using nonlinear instrumental variables. http://www.econ.cam.ac.uk/faculty/pesaran/IPnivOct25.pdf.
7. Im K.S., Pesaran M.H., and Shin Y. Testing for unit roots in heterogeneous panels. Journal of Econometrics 115 (2003) 53-74
8. IMSL, 1989. User's Manual. IMSL, Houston, TX.
9. Moon H.R., and Perron B. Testing for a unit root in panels with dynamic factors. Journal of Econometrics 122 (2004) 81-126
10. Moon, H.R., Perron, B., Phillips, P.C.B., 2003. Incidental trends and the power of panel unit root tests, unpublished manuscript.
11. Phillips P.C.B., and Sul D. Dynamic panel estimation and homogeneity testing under cross section dependence. Econometrics Journal 6 (2003) 217-259
12. Quah D. Exploiting cross-section variations for unit root inference in dynamic data. Economics Letters 44 (1994) 9-19
13. Shin D.W., and Lee O. Tests for asymmetry in possibly nonstationary time series data. Journal of Business and Economic Statistics 19 (2001) 233-244
14. Shin D.W., and Lee O. An instrumental variable approach for tests of unit roots and seasonal unit roots in asymmetric time series models. Journal of Econometrics 115 (2003) 29-52
15. Shin D.W., and So B.S. Gaussian tests for seasonal unit roots based on Cauchy estimation and recursive mean adjustments. Journal of Econometrics 99 (2000) 107-137
16. Shin D.W., and So B.S. Recursive mean adjustment and tests for unit roots. Journal of Time Series Analysis 22 (2001) 595-612
17. Shin D.W., and So B.S. Recursive mean adjustment and tests for nonstationarities. Economics Letters 75 (2002) 203-208
18. Shin D.W., and So B.S. Normal tests for unit roots based on instrumental variable estimators. Statistics 38 (2004) 123-132
19. Shin D.W., Kang S., and Oh M.S. Recursive mean adjustment for panel unit root tests. Economics Letters 84 (2004) 433-439