More powerful panel data unit root tests with an application to mean reversion in real exchange rates
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- 11 March 2004
- journal article
- research article
- Published by Wiley in Journal of Applied Econometrics
- Vol. 19 (2) , 147-170
- https://doi.org/10.1002/jae.723
Abstract
Unit root tests, seeking mean or trend reversion, are frequently applied to panel data. We show that more powerful variants of commonly applied tests are readily available. Moreover, power gains persist when the modifications are applied to bootstrap procedures that may be employed when cross‐correlation of a rather general sort among individual panel members is suspected. Copyright © 2004 John Wiley & Sons, Ltd.Keywords
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