| dc.contributor.author | Westerlund, Joakim | |
| dc.contributor.author | Larsson, Rolf | |
| dc.date.accessioned | 2009-10-01T07:54:26Z | |
| dc.date.available | 2009-10-01T07:54:26Z | |
| dc.date.issued | 2009-10-01T07:54:26Z | |
| dc.identifier.issn | 1403-2465 | |
| dc.identifier.uri | http://hdl.handle.net/2077/21170 | |
| dc.description.abstract | This paper proposes a new unit root test in the context of a random autoregressive
coefficient panel data model, in which the null of a unit root corresponds to the joint restriction
that the autoregressive coefficient has unit mean and zero variance. The asymptotic
distribution of the test statistic is derived and simulation results are provided to
suggest that it performs very well in small samples. | en |
| dc.language.iso | eng | en |
| dc.relation.ispartofseries | Working Papers in Economics | en |
| dc.relation.ispartofseries | 383 | en |
| dc.subject | Panel unit root test | en |
| dc.subject | Random coefficient autoregressive model | en |
| dc.title | Testing for a Unit Root in a Random Coefficient Panel Data Model | en |
| dc.type | Text | en |
| dc.type.svep | report | en |
