文章基本信息

标题：Panel Unit Root Tests and the Specification of Cross-sectional Dependence
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作者：Andrea Cerasa
期刊名称：Economics Bulletin
电子版ISSN：1545-2921
出版年度：2008
卷号：3
出版社：Economics Bulletin
摘要：This paper analyzes, through Monte Carlo experiments, the robustness of several panel unit root tests to different specifications of the cross-sectional dependence. Since results show that the miss-specification of cross-correlation crucially affects the properties of the tests, a graphical approach is suggested in order to determine the model of dependence which is likely to have generated the original data.
关键词：Panel unit root tests