Optimal tests against the alternative hypothesis of panel unit roots

Yonghee Lee, Dong Wan Shin

Research output: Contribution to journalArticlepeer-review

1 Scopus citations

Abstract

For panel models with random individual and time effects, locally best invariant (LBI) tests are constructed for the null hypothesis of stationarity against the alternative hypothesis of panel unit root. Finite sample properties of the proposed test and an existing test are compared by a Monte Carlo simulation.

Original languageEnglish
Pages (from-to)2275-2283
Number of pages9
JournalComputational Statistics and Data Analysis
Volume53
Issue number6
DOIs
StatePublished - 15 Apr 2009

Fingerprint

Dive into the research topics of 'Optimal tests against the alternative hypothesis of panel unit roots'. Together they form a unique fingerprint.

Cite this