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Type: cemmap Working Papers Authors: Steve Bond, Céline Nauges and Frank Windmeijer ISSN: 1753-9196
Volume, issue, pages: 40 pp.
JEL classification: C12, C23 Keywords: Generalised Method of Moments, identification, unit root tests
We consider a number of unit root tests for micro panels where the number of individuals is typically large, but the number of time periods is often very small. As we discuss, the presence of a unit root is closely related to the identification of parameters of interest in this context. Calculations of asymptotic local power and Monte Carlo evidence indicate that two simple t-tests based on ordinary least squares estimators perform particularly well. Search |
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