Arbeitspapier
Inference for unit roots in a panel smooth transition autoregressive model where the time dimension is fixed
In this paper we derive a unit root test against a Panel Logistic Smooth Transition Autoregressive (PLSTAR). The analysis is concentrated on the case where the time dimension is fixed and the cross section dimension tends to infinity. Under the null hypothesis of a unit root, we show that the LSDV estimator of the autoregressive parameter in the linear component of the model is inconsistent due to the inclusion of fixed effects. The test statistic, adjusted for the inconsistency, has an asymptotic normal distribution whose first two moments are calculated analytically. To complete the analysis, finite sample properties of the test are examined. We highlight scenarios under which the traditional panel unit root tests by Harris and Tzavalis have inferior or reasonable power compared to our test.
- Language
-
Englisch
- Bibliographic citation
-
Series: SSE/EFI Working Paper Series in Economics and Finance ; No. 581
- Classification
-
Wirtschaft
Hypothesis Testing: General
Single Equation Models; Single Variables: Panel Data Models; Spatio-temporal Models
Model Evaluation, Validation, and Selection
- Subject
-
Dynamic nonlinear panel
Smooth transitions
Structural breaks
Unit roots
LSDV estimation
Central limit theorem
- Event
-
Geistige Schöpfung
- (who)
-
He, Changli
Sandberg, Rickard
- Event
-
Veröffentlichung
- (who)
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Stockholm School of Economics, The Economic Research Institute (EFI)
- (where)
-
Stockholm
- (when)
-
2005
- Handle
- Last update
-
10.03.2025, 11:41 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- He, Changli
- Sandberg, Rickard
- Stockholm School of Economics, The Economic Research Institute (EFI)
Time of origin
- 2005
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