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dc.contributor.authorPesaran, M. Hashemen_GB
dc.date.accessioned2004-06-16T16:05:36Z
dc.date.available2004-06-16T16:05:36Z
dc.date.created2003-10en_GB
dc.date.issued2004-06-16T16:05:36Z
dc.identifier.urihttp://www.dspace.cam.ac.uk/handle/1810/378
dc.identifier.urihttps://www.repository.cam.ac.uk/handle/1810/378
dc.description.abstractA number of panel unit root tests that allow for cross section dependence have been proposed in the literature, notably by Bai and Ng (2002), Moon and Perron (2003) and Phillips and Sul (2002) who use orthogonalization type procedures to asymptotically eliminate the cross dependence of the series. In this paper we propose a simple alternative test where the standard DF (or ADF) regressions are augmented with the cross section averages of lagged levels and first-differences of the individual series. A truncated version of the CADF statistics is also considered. New asymptotic results are obtained both for the individual CADF statistics and their simple averages. It is shown that the CADFi statistics are asymptotically similar and do not depend on the factor loadings under joint asymptotics where N (cross section dimension) and T (time series dimension) ? 8, such that N/T? k, where k is a fixed finite non-zero constant. But they are asymptotically correlated due to their dependence on the common factor. Despite thisen_GB
dc.format.extent760059 bytes
dc.format.mimetypeapplication/pdfen_GB
dc.format.mimetypeapplication/pdf
dc.language.isoen_GB
dc.publisherFaculty of Economics
dc.relation.ispartofseriesCambridge Working Papers in Economics
dc.rightsAll Rights Reserveden
dc.rights.urihttps://www.rioxx.net/licenses/all-rights-reserved/en
dc.subject.classificationClassification-JEL: C12, C15, C22, C23en_GB
dc.subject.otherpanel unit root tests, cross-section dependence, heterogeneous dynamic panels, finite sample propertiesen_GB
dc.titleA Simple Panel Unit Root Test in the Presence of Cross Section Dependenceen_GB
dc.typeWorking Paperen
dc.identifier.doi10.17863/CAM.5082


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