Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/56230
Authors: 
He, Changli
Sandberg, Rickard
Year of Publication: 
2005
Series/Report no.: 
SSE/EFI Working Paper Series in Economics and Finance 581
Abstract: 
In this paper we derive a unit root test against a Panel Logistic Smooth Transition Autoregressive (PLSTAR). The analysis is concentrated on the case where the time dimension is fixed and the cross section dimension tends to infinity. Under the null hypothesis of a unit root, we show that the LSDV estimator of the autoregressive parameter in the linear component of the model is inconsistent due to the inclusion of fixed effects. The test statistic, adjusted for the inconsistency, has an asymptotic normal distribution whose first two moments are calculated analytically. To complete the analysis, finite sample properties of the test are examined. We highlight scenarios under which the traditional panel unit root tests by Harris and Tzavalis have inferior or reasonable power compared to our test.
Subjects: 
Dynamic nonlinear panel
Smooth transitions
Structural breaks
Unit roots
LSDV estimation
Central limit theorem
JEL: 
C12
C23
C52
Document Type: 
Working Paper

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