Point-optimal panel unit root tests with serially correlated errors

Hyungsik Roger Moon, Benoit Perron, Peter C.B. Phillips

Research output: Contribution to journalArticlepeer-review

4 Citations (Scopus)


Summary: Generalizations of the point-optimal panel unit root tests of Moon, Perron and Phillips (MPP) are developed to cover cases of serially correlated errors. The resulting statistics involve two modifications relative to those of MPP: (a) the error variance is replaced by the long-run variance; (b) centring of the statistic is adjusted to correct for second-order bias effects induced by the correlation between the error and lagged dependent variable.

Original languageEnglish
Pages (from-to)338-372
Number of pages35
JournalEconometrics Journal
Issue number3
Publication statusPublished - 2014 Oct 1

Bibliographical note

Publisher Copyright:
© 2014 Royal Economic Society.

All Science Journal Classification (ASJC) codes

  • Economics and Econometrics


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