A fixed-T version of Breitung’s panel data unit root test
Research output: Contribution to journal › Article › peer-review
Authors
Colleges, School and Institutes
Abstract
We extend Breitung’s (2000) panel data unit root test to the case of fixed time (T) dimension while still allowing for heteroscedastic and serially correlated error terms. The analytic local power function of the new test is derived assuming that only the cross section dimension of the panel grows large. It is found that, if the errors are serially correlated, the test has non-trivial power. Monte Carlo experiments show that the suggested test is more powerful when the number of cross section units is moderate or large, regardless of the number of time series observations.
Details
| Original language | English |
|---|---|
| Pages (from-to) | 83-87 |
| Journal | Economics Letters |
| Volume | 124 |
| Issue number | 1 |
| Early online date | 5 May 2014 |
| Publication status | Published - 1 Jul 2014 |
Keywords
- Panel unit root, Local power function, Serial correlation, Incidental trends