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Unit root tests in panel data: asymptotic and finite-sample properties

Journal of Econometrics · 2002 · Vol. 108(1) · pp. 1–24

Andrew Levin✉(Federal Reserve Board of Governors)Chien‐Fu Lin(National Taiwan University)Chia-Shang James Chu(National Taiwan University)

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Spatial and Panel Data Analysis Monetary Policy and Economic Impact Economic Growth and ProductivityUnit rootMathematicsSample (material)Panel dataUnit root testUnit (ring theory)Applied mathematicsStatisticsEconometricsRoot (linguistics)

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References

Distribution of the Estimators for Autoregressive Time Series with a Unit Root

Journal of the American Statistical Association · 1979 · 22,774 citations

Unit root tests in panel data: asymptotic and finite-sample properties

Journal of Econometrics · 2002 · 12,566 citations

Formulation and estimation of dynamic models using panel data

Journal of Econometrics · 1982 · 2,844 citations

Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models

Econometrica · 1991 · 11,053 citations

Introduction to Statistical Time Series

Technometrics · 1978 · 4,319 citations

Estimating Vector Autoregressions with Panel Data

Econometrica · 1988 · 4,200 citations

Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root

Econometrica · 1981 · 14,430 citations

Testing for a unit root in time series regression

Biometrika · 1988 · 17,746 citations

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