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Panel unit root tests under cross section dependence with recursive mean adjustment |
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| Authors: | Donggyu Sul |
| Institution: | aThe University of Texas at Dallas, School of Economic, Political and Policy Sciences, Mail Station GR31, 800 West Campbell Road, Richardson, TX 75080-3021, USA |
| Abstract: | Utilizing recursive mean adjustment (RMA) we provide two unit root tests: the covariate RMA unit root test and the panel feasible generalized RMA unit root test. The proposed panel unit root tests are precise and powerful, especially when T > N. |
| Keywords: | Recursive detrending Dynamic factors Panel unit root test Covariate unit root test Cross section dependence |
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