Testing for a unit root in a random coefficient panel data model

Journal of Econometrics

Volumn 167, Issue 1, 2012, Pages 254-273

  Westerlund, Joakim ^a   Larsson, Rolf ^b  

^a DEAKIN UNIVERSITY   (Australia)

^b UPPSALA UNIVERSITY   (Sweden)

Author keywords

Local asymptotic power; Panel unit root test; Random coefficient autoregressive model

Indexed keywords

ASYMPTOTIC DISTRIBUTIONS; AUTOREGRESSIVE COEFFICIENT; LOCAL ASYMPTOTIC; PANEL DATA MODELS; PANEL UNIT ROOT TEST; RANDOM COEFFICIENT AUTOREGRESSIVE MODEL; RANDOM COEFFICIENTS; SMALL SAMPLES; UNIT ROOT; ZERO VARIANCE;

STATISTICAL TESTS;

MODELS;

EID: 84856349701     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2011.11.009     Document Type: Article

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