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Unit root test for short panels with serially correlated errors. (English) Zbl 1422.62205

Summary: This paper proposes a unit root test for short panels with serially correlated errors. The proposed test is based on the instrumental variables (IVs) and the generalized method of moments (GMM) estimators. An advantage of the new test over other tests is that it allows for an ARMA-type serial correlation. A Monte Carlo simulation shows that the new test has good finite sample properties. Several methods to estimate the lag orders of the ARMA structure are briefly discussed.

MSC:

62M07 Non-Markovian processes: hypothesis testing
62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
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