Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/259901 
Year of Publication: 
2005
Series/Report no.: 
Working Paper No. 2005:9
Publisher: 
Lund University, School of Economics and Management, Department of Economics, Lund
Abstract: 
This paper proposes new pooled panel unit root tests that are appropriate when the data exhibit cross-sectional dependence that is generated by a single common factor. Using sequential limit arguments, we show that the tests have a limiting normal distribution that is free of nuisance parameters and that they are unbiased against heterogenous local alternatives. Our Monte Carlo results indicate that the tests perform well in comparison to other popular tests that also presumes a common factor structure for the cross-sectional dependence.
Subjects: 
Pooled Unit Root Tests
Panel Data
Common Factor
Cross-Sectional Dependence
Monte Carlo Simulation.
JEL: 
C12
C31
C33
Document Type: 
Working Paper

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