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- W10366736 abstract "We study the asymptotically normal LM integration test. It is observed that the test is robust to shifts in the mean under the null hypothesis, while it retains nice power properties under the alternative. If the occurrence of a mean shift is taken into account, power will increase. Assuming a finite number of independent cross-sections the sum over individual test statistics will again follow a standard distribution as time dimension tends to infinity. This is true for unbalanced panels and for panels where in some cross-sections structural breaks may have been accounted for. We allow for cross-correlated panels and propose a simple correction. The validity of our asymptotic results is assessed in extensive Monte Carlo experimentation." @default.
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- W10366736 date "2004-01-01" @default.
- W10366736 modified "2023-09-22" @default.
- W10366736 title "Asymptotically Normal Unit Root Testing: Extensions to Panel Data and Structural Breaks" @default.
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