A nonlinear panel unit root test under cross section dependence
We propose a nonlinear heterogeneous panel unit root test for testing the null hypothesis of unit-root processes against the alternative that allows a proportion of units to be generated by globally stationary ESTAR processes and a remaining non-zero proportion to be generated by unit root processes...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Centre for International Capital Markets, London Metropolitan University
2007
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| Subjects: | |
| Online Access: | https://repository.londonmet.ac.uk/498/1/CentreForInternationalCapitalMarketsDiscussionPapers_2007-14_p01-31.pdf |