Unit root tests in panel data: asymptotic and finite-sample properties

Andrew Levin, Chien‐Fu Lin, Chia-Shang James Chu

Journal of Econometrics· 2002-05-01· article· 12,832 citationsclosed

Spatial and Panel Data Analysis Monetary Policy and Economic Impact Diverse Scientific and Economic Studies

Abstract

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Andrew Levin, Chien‐Fu Lin, Chia-Shang James Chu (2002). Unit root tests in panel data: asymptotic and finite-sample properties. Journal of Econometrics. https://doi.org/10.1016/s0304-4076(01)00098-7

@article{andrew2002unit,
  title  = {Unit root tests in panel data: asymptotic and finite-sample properties},
  author = {Levin, Andrew and Lin, Chien‐Fu and Chu, Chia-Shang James},
  year   = {2002},
  journal = {Journal of Econometrics},
  doi    = {10.1016/s0304-4076(01)00098-7}
}

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References

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1979Distribution of the Estimators for Autoregressive Time Series With a Unit Root

2003Analysis of Panel Data

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2004PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS

2007Testing for Error Correction in Panel Data*

1995International R&D spillovers

2001Unit root tests for panel data

2008Introductory Econometrics for Finance

2004Fully modified OLS for heterogeneous cointegrated panels