Cross-sectional dependency and size distortion in a small-sample homogeneous panel-data unit root test

109 citations recorded by the source corpus.

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

Determinants of Renewable Energy Growth: A Global Sample Analysis (2014, methodology): “Thirdly, the method underestimates the standard errors, which leads to overconfidence in the results (see Beck and Katz, 1995; Freedman and Peters, 1984; Jönsson, 2005).”
Panel unit root tests under cross‐sectional dependence (2005, methodology): “To obtain a valid estimator for the variance of the OLS estimator, the panel corrected variance estimator suggested by BECK and KATZ (1995) and JöNSSON (2005) is used yielding VVS, 2005 v̂/̂ ¼ PT t¼1 y 0 t 1X̂yt 1PT t¼1 y 0 t 1yt 1 2 : Accordingly, the robust t-statistic is obtained as trob ¼…”
Unit Roots and Cointegration in Panels (2005, unknown): “An alternative approach based on “panel corrected standard errors” (PCSE) is considered by Jönsson (2005) and Breitung and Das (2005a).”
TESTING FOR UNIT ROOTS IN PANELS WITH A FACTOR STRUCTURE (2007, background): “~Jönsson, 2005! and the generalized least squares ~GLS! t-statistic possess a standard normal limit distribution+ Choi ~2002!, Phillips and Sul ~2003!, Bai and Ng ~2004!, Moon and Perron ~2004!, and Pesaran ~2005! consider a strong form of dependence that is due to common factors+ In this case the…”