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030 Department Bulletin Papers = 本学紀要論文
*Hitotsubashi journal of economics
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このアイテムのアクセス数:
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2024-04-25
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このアイテムへのリンクには次のURLをご利用ください: https://doi.org/10.15057/22026
このアイテムへのリンクには次のURLをご利用ください: https://hdl.handle.net/10086/22026
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cover_22026
pdf
HJeco0520201650
pdf
622 KB
1,245
詳細情報
詳細情報出力
Title
A Locally Optimal Test for No Unit Root in Cross-sectionally Dependent Panel Data
Creator
Creator Name
Hadri, Kaddour
Hadri, Kaddour
Affiliation
Affiliation Name
Queen’s University Belfast
Creator Name
Kurozumi, Eiji
Kurozumi, Eiji
Affiliation
Affiliation Name
Hitotsubashi University
Key Word
KPSS test
unit root
cross-sectional dependence
LM test
locally best test
JEL
C12
C33
Abstract
This paper develops a simple test for the null hypothesis of no unit root for panel data with cross-sectional dependence in the form of a common factor in the disturbance. We do not estimate the common factor but mop-up its effect by employing the same method as the one proposed in Pesaran (2007) in the unit root testing context. We show that our test is asymptotically locally optimal, although the optimality is not guaranteed under a wide range of the alternative.
Publisher
Hitotsubashi University
Issued Date
2011-12
Language
英語(eng)
Resource Type
departmental bulletin paper(紀要論文)
Version Type
VoR
selfDOI
10.15057/22026
ISSN
0018-280x
NCID
AA00207547
Source Title
Hitotsubashi Journal of Economics
Volume Number
52
Issue Number
2
Page Start
165
Page End
184
Appears in Collections
Vol. 52, no. 2 (Dec. 2011)
URL
https://hdl.handle.net/10086/22026
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