Results 271 to 280 of about 10,160,813 (305)

New panel unit root tests of PPP

Economics Letters, 1997
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Jerry Coakley
exaly   +2 more sources

Testing for unit roots in heterogeneous panels

Journal of Econometrics, 2003
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Im, Kyung So, Pesaran, M. Hashem, Shin, Yongcheol   +2 more
openaire   +3 more sources

Testing for panel unit roots in the presence of spatial dependency [PDF]

Applied Economics, 2013
In this article, the size and power properties of the Common-factor Im, Pesaran and Shin (CIPS), Wald (W), Likelihood Ratio (LR) and Lagrange Multiplier (LM) tests are investigated when the error term follows a spatial error model. In this study, the results from the Monte Carlo simulations, first, show that the CIPS test over-estimates the nominal ...
Månsson, Kristofer, Shukur, Ghazi, Sjölander, Pär   +2 more
openaire   +1 more source

TESTING FOR UNIT ROOTS IN PANELS WITH A FACTOR STRUCTURE

Econometric Theory, 2007
Summary: This paper considers various tests of the unit root hypothesis in panels where the cross-section dependence is due to common dynamic factors. Three situations are studied. First, the common factors and idiosyncratic components may both be nonstationary.
Breitung, Jörg, Das, Samarjit
openaire   +2 more sources

Reprint of: Testing for unit roots in heterogeneous panels

Journal of Econometrics, 2023
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Im, Kyung So, Pesaran, M. Hashem, Shin, Yongcheol   +2 more
openaire   +2 more sources

Stationary bootstrapping for semiparametric panel unit root tests

Computational Statistics & Data Analysis, 2015
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Eunju Hwang, Dong Wan Shin
openaire   +3 more sources

Asymptotically UMP Panel Unit Root Tests - The Effect of Heterogeneity in the Alternatives

SSRN Electronic Journal, 2013
In a Gaussian, heterogeneous, cross-sectionally independent panel with incidental intercepts, Moon, Perron, and Phillips (2007, Journal of Econometrics 141, 416–459) present an asymptotic power envelope yielding an upper bound to the local asymptotic power of unit root tests.
Becheri, I.G., Drost, F.C., van den Akker, R.   +2 more
openaire   +2 more sources

On the interpretation of panel unit root tests

Economics Letters, 2012
Abstract Applications of panel unit root tests have become commonplace in empirical economics, yet there are ambiguities as how best to interpret the test results. This note clarifies that rejection of the panel unit root hypothesis should be interpreted as evidence that a statistically significant proportion of the units are stationary. Accordingly,
openaire   +1 more source

Panel Unit Root Test

2019
Panel data with long time period have been used predominately in applied macroeconomic research like purchasing power parity, growth convergence, business cycle synchronisation and so on. In this chapter provides some theoretical issues and their application in testing for unit roots in panel data where the time dimension (T), and the cross section ...
openaire   +1 more source

Unit root tests for panel data

Journal of International Money and Finance, 2001
Abstract This paper develops unit root tests for panel data. These tests are devised under more general assumptions than the tests previously proposed. First, the number of groups in the panel data is assumed to be either finite or infinite. Second, each group is assumed to have different types of nonstochastic and stochastic components.
openaire   +1 more source