Unit root tests for cross-sectionally dependent seasonal panels

Yonghee Lee; Dong Wan Shin

doi:10.1016/j.econlet.2006.05.021

Unit root tests for cross-sectionally dependent seasonal panels

Yonghee Lee, Dong Wan Shin

Department of Statistics

Ewha Womans University

Research output: Contribution to journal › Article › peer-review

2 Scopus citations

Abstract

Unit root tests are developed for seasonal panel models with cross-sectionally dependent errors. The tests are based on an instrumental variable estimator and have standard Gaussian null asymptotics.

Original language	English
Pages (from-to)	311-317
Number of pages	7
Journal	Economics Letters
Volume	93
Issue number	3
DOIs	https://doi.org/10.1016/j.econlet.2006.05.021
State	Published - Dec 2006

Keywords

Instrumental variable estimation
Seasonal unit root

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10.1016/j.econlet.2006.05.021

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title = "Unit root tests for cross-sectionally dependent seasonal panels",

abstract = "Unit root tests are developed for seasonal panel models with cross-sectionally dependent errors. The tests are based on an instrumental variable estimator and have standard Gaussian null asymptotics.",

keywords = "Instrumental variable estimation, Seasonal unit root",

author = "Yonghee Lee and Shin, {Dong Wan}",

year = "2006",

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doi = "10.1016/j.econlet.2006.05.021",

language = "English",

volume = "93",

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journal = "Economics Letters",

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AU - Shin, Dong Wan

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AB - Unit root tests are developed for seasonal panel models with cross-sectionally dependent errors. The tests are based on an instrumental variable estimator and have standard Gaussian null asymptotics.

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DO - 10.1016/j.econlet.2006.05.021

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VL - 93

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JO - Economics Letters

JF - Economics Letters

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Unit root tests for cross-sectionally dependent seasonal panels

Abstract

Keywords

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