Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/79321
Authors: 
Bond, Stephen
Nauges, Céline
Windmeijer, Frank
Year of Publication: 
2005
Series/Report no.: 
cemmap working paper, Centre for Microdata Methods and Practice CWP07/05
Abstract: 
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.
Subjects: 
Generalised Method of Moments , Identification , Unit Root Tests
JEL: 
C12
C23
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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