Finite sample distributions and non-normality in second generation panel unit root tests
As a remarkable advantage, panel unit root testing statistics present Gaussian distribution in the limit rather than the complicated functionals of Wiener processes compared with traditional single time series tests. Therefore, the asymptotic critical values are directly used and the finite sample p...
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University of Leicester
2010
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| Online Access: | http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.529609 |