Arbeitspapier
Unit roots: Identification and testing in micro panels
We consider a number of unit root tests for micro panels where the number of individuals is typically large, but the number of time periods is often very small. As we discuss, the presence of a unit root is closely related to the identification of parameters of interest in this context. Calculations of asymptotic local power and Monte Carlo evidence indicate that two simple t-tests based on ordinary least squares estimators perform particularly well.
- Sprache
-
Englisch
- Erschienen in
-
Series: cemmap working paper ; No. CWP07/05
- Klassifikation
-
Wirtschaft
Hypothesis Testing: General
Single Equation Models; Single Variables: Panel Data Models; Spatio-temporal Models
- Thema
-
Generalised Method of Moments , Identification , Unit Root Tests
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Bond, Stephen
Nauges, Céline
Windmeijer, Frank
- Ereignis
-
Veröffentlichung
- (wer)
-
Centre for Microdata Methods and Practice (cemmap)
- (wo)
-
London
- (wann)
-
2005
- DOI
-
doi:10.1920/wp.cem.2005.0705
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Bond, Stephen
- Nauges, Céline
- Windmeijer, Frank
- Centre for Microdata Methods and Practice (cemmap)
Entstanden
- 2005
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