Econometric Theory and Practice: Combination Unit Root Tests for Cross-Sectionally Correlated Panels

By In Choi. 2006

298 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/a64427f11e6c4948703cfbe31c60d3bd42f355d9

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In Economics and Econometrics

Citations in the corpus

Economic growth in South Asia: Role of infrastructure (2012, background): “2004 ; Choi 2006 ; Pesaran 2007 ) allowing for cross-sectional dependence.”
Panel cointegration with global stochastic trends (2008, background): “The results in this paper can be used to test the null hypothesis of no cross-sectional dependence H0 : λi = 0 for all i (18) for all i in (3) against the alternative that 6 H0 : λi 6= 0 for some i.”
The Carbon Kuznets Curve: A Cloudy Picture Emitted by Bad Econometrics? (2008, methodology): “In the empirical EKC literature there is an ongoing discussion on appropriate specification and estimation strategies, see Dijkgraaf and Vollebergh (2001) for a comparative discussion of econometric techniques applied in the literature.”
Panel Unit Root Tests and Spatial Dependence (2006, unknown): “The tests of Choi (2002) , Chang (2002) and Pe-”
Panel unit root tests under cross‐sectional dependence (2005, unknown): “CHOI (2004), PHILLIPS and SUL (2004), MOON and PERRON (2004) and PESARAN (2003) suggest approximating the error correlation by a factor model.”
Une synthèse des tests de racine unitaire sur données de panel (2005, methodology): “…sans tendance Modèle avec tendance Moon et Perron (2004) br ta tb br t#a t#b 1 12:26 (0:00) 5:910 (0:00) 1 0:310 (0:37) 0:293 (0:38) Choi (2002) Pm Z L Pm Z L 3:508 (0:99) 4:323 (1:00) 4:137 (1:00) 1:558 (0:06) 0:678 (0:24) 0:523 (0:30) Pesaran (2003) CIPS1 CIPS2 CIPS3 CIPS1 CIPS2…”
A simple panel unit root test in the presence of cross-section dependence (2007, unknown): “…Im and Pesaran show that Chang’s test is grossly oversized for moderate degrees of cross-section dependence, even for relatively small values of N.1 Choi (2002) models the cross-dependence using a two-way error-component model which imposes the same pair-wise error covariances across the…”
Testing for Unit Roots in Small Panels with Short-run and Long-run Cross-sectional Dependencies (2009, background): “See also Choi (2006) and Phillips and Sul (2003) for some related work in this line of research.”
Second Generation Panel Unit Root Tests (2007, unknown): “…Tzavalis (1999) Im, Pesaran and Shin (1997, 2002, 2003) Maddala and Wu (1999) Choi (1999, 2001) 2 - Stationarity tests Hadri (2000) Second Generation Cross-sectional dependencies 1-Factor structure Bai and Ng (2001, 2004) Moon and Perron (2004a) Phillips and Sul (2003a) Pesaran (2003) Choi (2002)”
The Performance of Panel Unit Root and Stationarity Tests: Results from a Large Scale Simulation Study (2006, unknown): “Bai and Ng (2004), Chang (2002), Choi (2002) , Moon”