Shortfalls of panel unit root testing

Date

2003

Authors

Strauss, J.
Yigit, T.

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Abstract

This paper shows that (i) magnitude and variation of contemporaneous correlation are important in panel unit root tests, and (ii) demeaning across the panel usually does not eliminate these problems. (C) 2003 Elsevier B.V. All rights reserved.

Source Title

Economics Letters

Publisher

Elsevier BV

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Published Version (Please cite this version)

Language

English