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Unit roots: identification and testing in micro panels

Author

Listed:
  • Stephen Bond

    (Institute for Fiscal Studies and Nuffield College, Oxford)

  • Céline Nauges

    (Institute for Fiscal Studies)

  • Frank Windmeijer

    (Institute for Fiscal Studies and University of Bristol)

Abstract

We consider a number of unit root tests for micro panels where the number of individuals is typically large, but the number of time periods is often very small. As we discuss, the presence of a unit root is closely related to the identification of parameters of interest in this context. Calculations of asymptotic local power and Monte Carlo evidence indicate that two simple t-tests based on ordinary least squares estimators perform particularly well.

Suggested Citation

  • Stephen Bond & Céline Nauges & Frank Windmeijer, 2005. "Unit roots: identification and testing in micro panels," CeMMAP working papers CWP07/05, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    • Handle: RePEc:ifs:cemmap:07/05
    as

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    File URL: http://cemmap.ifs.org.uk/wps/cwp0705.pdf
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    Generalised Method of Moments; identification; unit root tests;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models

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