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Andrea Cerasa
''Panel Unit Root Tests and the Specification of Cross-sectional Dependence''
( 2008, Vol. 3 No.37 )
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.
Keywords: Panel unit root tests
Manuscript Received : Jul 18 2008 Manuscript Accepted : Jul 18 2008

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