Exploiting cross section variation for unit root inference in dynamic data
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TL;DR: In this paper, the authors consider unit root regressions in data having simultaneously extensive cross-section and time-series variation and show that the standard least squares estimators in such data structures turn out to be the best estimators.
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About: This article is published in Economics Letters. The article was published on 01 Jan 1994. and is currently open access. The article focuses on the topics: Unit root & Least squares.
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Citations
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Econometric Analysis of Cross Section and Panel Data
Jeffrey M. Wooldridge
- 01 Jan 2001
TL;DR: This is the essential companion to Jeffrey Wooldridge's widely-used graduate text Econometric Analysis of Cross Section and Panel Data (MIT Press, 2001).
Testing for unit roots in heterogeneous panels
TL;DR: In this article, a unit root test for dynamic heterogeneous panels based on the mean of individual unit root statistics is proposed, which converges in probability to a standard normal variate sequentially with T (the time series dimension) →∞, followed by N (the cross sectional dimension)→∞.
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Unit root tests in panel data: asymptotic and finite-sample properties
TL;DR: In this article, the authors consider pooling cross-section time series data for testing the unit root hypothesis, and they show that the power of the panel-based unit root test is dramatically higher, compared to performing a separate unit-root test for each individual time series.
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A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test
G. S. Maddala,Shaowen Wu +1 more
TL;DR: The Im-Pesaran-Shin (IPS) test as discussed by the authors relaxes the restrictive assumption of the LL test and is best viewed as a test for summarizing the evidence from independent tests of the sample hypothesis.
Panel cointegration: asymptotic and finite sample properties of pooled time series tests with an application to the ppp hypothesis
TL;DR: This paper examined properties of residual-based tests for the null of no cointegration for dynamic panels in which both the short-run dynamics and the long-run slope coefficients are permitted to be heterogeneous across individual members of the panel.
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