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- Title
Point-optimal panel unit root tests with serially correlated errors.
- Authors
Moon, Hyungsik Roger; Perron, Benoit; Phillips, Peter C. B.
- Abstract
Generalizations of the point-optimal panel unit root tests of Moon, Perron and Phillips (MPP) are developed to cover cases of serially correlated errors. The resulting statistics involve two modifications relative to those of MPP: (a) the error variance is replaced by the long-run variance; (b) centring of the statistic is adjusted to correct for second-order bias effects induced by the correlation between the error and lagged dependent variable.
- Subjects
ERROR analysis in mathematics; BIAS correction (Topology); MATHEMATICAL models; SIMULATION methods &; models; NUMERICAL analysis
- Publication
Econometrics Journal, 2014, Vol 17, Issue 3, p338
- ISSN
1368-4221
- Publication type
Article
- DOI
10.1111/ectj.12030