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Inference for unit roots in dynamic panels where the time dimension is fixed

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  • Harris, Richard D. F.
  • Tzavalis, Elias

Abstract

Implementation of Harris-Tzavalis test for unit roots in panel data. This has a null of a unit root, with asymptotics assuming large N, fixed T. Harris and Tzavalis(1999), "Inference for unit roots in dynamic panels where the time dimension is fixed". Journal of Econometrics, vol 91, pp 201–226.
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Suggested Citation

  • Harris, Richard D. F. & Tzavalis, Elias, 1999. "Inference for unit roots in dynamic panels where the time dimension is fixed," Journal of Econometrics, Elsevier, vol. 91(2), pages 201-226, August.
    • Handle: RePEc:eee:econom:v:91:y:1999:i:2:p:201-226
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    1. Kiviet, Jan F & Phillips, Garry D A, 1992. "Exact Similar Tests for Unit Roots and Cointegration," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 54(3), pages 349-367, August.
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    6. repec:exe:wpaper:96/04 is not listed on IDEAS
    7. Im, Kyung So & Pesaran, M. Hashem & Shin, Yongcheol, 2003. "Testing for unit roots in heterogeneous panels," Journal of Econometrics, Elsevier, vol. 115(1), pages 53-74, July.
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