A Comparative study of unit roottests with panel data and a new simple test(5)
G. S. Maddala and Shaowen Wu
(H. D. Thoreau: Walden)
A Comparative study of unit root tests withpanel data and a new simple test --5
1, using all i andt. The resulting t-statistic is:
2,isthe average lag length used in the individual ADF regression.
3, Since the test statistic is not centered atzero, Levin and Lin suggest using the following adjusted t-statistic:
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