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st: Moon-Perron Test


From   "Joan R. Roses" <jroses@clio.uc3m.es>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: Moon-Perron Test
Date   Wed, 7 Oct 2009 09:50:06 +0200

Hi listers,
I'm analysing integration of labour markets with a panel of 50 N * 20 T.I already performed IPSIN, LEVINLIN and PESCADF tests on unit-root in panel data. However, my data suffers from cross-sectional dependence and, then, I would like to implementthe Moon-Perron test (Moon HR, Perron B (2004) Testing for a unit root in panels with dynamic factors. J Econom 122:81-126)which allows to compute half-lives (convergence rates)in presence of cross-sectional dependence. Does any know how to do? Many ThanksJoan R. RosésUniversidad Carlos III de Madrid
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