期刊名称：Cambridge Working Papers in Economics / Faculty of Economics ; Department of Applied Economics
出版年度：2007
卷号：1
出版社：Cambridge University
摘要：This paper extends the cross sectionally augmented panel unit root test proposed by Pesaran (2007) to the case of a multifactor error structure. The basic idea is to exploit information regarding the unobserved factors that are shared by other time series in addition to the variable under consideration. Importantly, our test procedure only requires specification of the maximum number of factors, in contrast to other panel unit root tests based on principal components that require in addition the estimation of the number of factors as well as the factors themselves. Small sample properties of the proposed test are investigated by Monte Carlo experiments, which suggest that it controls well for size in almost all cases, especially in the presence of serial correlation in the error term, contrary to alternative test statistics. Empirical applications to Fisher's inflation parity and real equity prices across different markets illustrate how the proposed test works in practice.
关键词：Panel unit root tests, Cross Section Dependence, Multi-factor Residual Structure, Fisher In.ation Parity, Real Equity Prices.
