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Testing for unit root in nonlinear heterogeneous panels

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Date

2009

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Elsevier Science S A

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Abstract

We develop unit root tests for nonlinear heterogeneous panels where the alternative hypothesis is an exponential smooth transition (ESTAR) model, and provide their small sample properties. We apply our tests for investigating the income convergence hypothesis in the OECD sample

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Nonlinear, Panel Unit Root, Sieve Bootstrap, JEL Classification, C12, C22, O47

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Citation

Uçar, N., Omay, T. (2009). Testing for unit root in nonlinear heterogeneous panels. Economics Letters, 104(1), 5-8. http://dx.doi.org/10.1016/j.econlet.2009.03.018

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Source

Economics Letters

Volume

104

Issue

1

Start Page

5

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8