TY - JOUR
T1 - A generalized nonlinear IV unit root test for panel data with cross-sectional dependence
AU - Wang, Shaoping
AU - Wang, Peng
AU - Yang, Jisheng
AU - Li, Zinai
PY - 2010/7
Y1 - 2010/7
N2 - This paper proposes a unit root test for panel data with cross-sectional dependence. The test generalizes the nonlinear IV unit root test of Chang (2002) to the case where there exist some common factors in panels. The main idea is to eliminate the cross-sectional dependence through the method of principal components as in Bai and Ng (2004) and then apply Chang's test to the treated data. Under certain conditions, the proposed test is consistent and has a standard normal limiting distribution under the null hypothesis. Simulation results show that the proposed test compares favorably to other alternative tests.
AB - This paper proposes a unit root test for panel data with cross-sectional dependence. The test generalizes the nonlinear IV unit root test of Chang (2002) to the case where there exist some common factors in panels. The main idea is to eliminate the cross-sectional dependence through the method of principal components as in Bai and Ng (2004) and then apply Chang's test to the treated data. Under certain conditions, the proposed test is consistent and has a standard normal limiting distribution under the null hypothesis. Simulation results show that the proposed test compares favorably to other alternative tests.
KW - Cross-sectional dependence
KW - Non-linear instruments
KW - Panel unit root test
KW - Principal components
UR - https://www.webofscience.com/wos/woscc/full-record/WOS:000278781400009
UR - https://openalex.org/W1976131105
UR - https://www.scopus.com/pages/publications/84859889315
U2 - 10.1016/j.jeconom.2009.10.034
DO - 10.1016/j.jeconom.2009.10.034
M3 - Journal Article
SN - 0304-4076
VL - 157
SP - 101
EP - 109
JO - Journal of Econometrics
JF - Journal of Econometrics
IS - 1
ER -