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Series-Specific Unit Root Tests with Panel Data

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Author Info
 Breuer, Janice Boucher
McNown, Robert
Wallace, Myles

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Abstract

A unit root testing procedure is presented that exploits the well-established power advantages of panel estimation while rectifying a deficiency in other panel unit root tests. This test (called SURADF) is based on seemingly unrelated regressions applied to Augmented Dickey-Fuller (ADF) tests for a unit root. In contrast to extant panel unit root tests, our test allows for determination of which members of the panel reject the null hypothesis of a unit root and which ones do not. The power of the test is investigated with Monte Carlo simulation and demonstrated with application to several panels of real exchange rates. We find that when the contemporaneous cross-correlations of the residuals are high, our procedure has substantially more power to reject a unit root than the single equation Dickey-Fuller test. Copyright 2002 by Blackwell Publishing Ltd

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Publisher Info
Article provided by Department of Economics, University of Oxford in its journal Oxford Bulletin of Economics & Statistics.

Volume (Year): 64 (2002)
Issue (Month): 5 (December)
Pages: 527-46
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Handle: RePEc:bla:obuest:v:64:y:2002:i:5:p:527-46

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  2. Koedijk, C.G. & Tims, B. & Dijk, M.A. van, 2004. "Purchasing Power Parity and the Euro Area," Research Paper ERS-2004-025-F&A Revision, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus Uni. [Downloadable!]
  3. António Afonso & Christophe Rault, 2008. "3-Step Analysis of Public Finances Sustainability: the Case of the European Union," Working Papers hal-00322086_v1, HAL. [Downloadable!]
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  4. António Afonso & Christophe Rault, 2007. "What We Really Know about Fiscal Sustainability in the EU? A Panel Data Diagnostic," Working Papers 2007/20, Department of Economics at the School of Economics and Management (ISEG), Technical University of Lisbon.. [Downloadable!]
  5. Yin-wong Cheung & Antonio Garcia-Pascual, 2004. "Testing for Output Convergence: A Re-examination," Working Papers 052004, Hong Kong Institute for Monetary Research. [Downloadable!]
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  6. Alina M. Spiru, 2008. "Inflation Convergence In Central And Eastern European Economies," Romanian Economic Business Review, Romanian-American University, vol. 3(4), pages 14-34, Winter. [Downloadable!]
  7. Chan, Tze-Haw & Baharumshah, Ahmad Zubaidi & Lau, Evan, 2005. "Real Financial Integration among the East Asian Economies: A SURADF Panel Approach," MPRA Paper 2021, University Library of Munich, Germany, revised Feb 2007. [Downloadable!]
  8. Ahmad Zubaidi Baharumshah & Darja Borsic, 2008. "Purchasing power parity in Central and Eastern European countries," Economics Bulletin, Economics Bulletin, vol. 6(32), pages 1-8. [Downloadable!]
  9. Baharumshah, Ahmad Zubaidi & Chan, Tze-Haw & Masih, A. Mansur A. & Lau, Evan, 2007. "Financial Integration of East Asian Economies: Evidence from Real Interest Parity," MPRA Paper 2210, University Library of Munich, Germany, revised 04 Jun 2007. [Downloadable!]
  10. Fischer, Christoph, 2004. "PPP : a Disaggregated View," Discussion Paper Series 1: Economic Studies 2004,07, Deutsche Bundesbank, Research Centre. [Downloadable!]
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  11. Jönsson, Kristian, 2003. "Cross-sectional dependency and size distortion in a small-sample homogeneous panel-data unit root test," Working Papers 2003:10, Lund University, Department of Economics.
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  12. Bentzen, Jan & Madsen, Erik Strøjer & Smith, Valdemar & Dilling-Hansen, Mogens, 2004. "Persistence in Corporate Performance? - Empirical Evidence from Panel Unit Root Tests," Working Papers 04-15, University of Aarhus, Aarhus School of Business, Department of Economics. [Downloadable!]
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  13. Evan Lau & Ahmad Zubaidi Baharumshah, 2005. "Assessing The Mean Reversion Behavior Of Fiscal Policy: The Case Of Asian Countries," Macroeconomics 0504002, EconWPA. [Downloadable!]
  14. Alina Spiru, 2007. "Inflation convergence in the new EU member states," Working Papers 005221, Lancaster University Management School, Economics Department. [Downloadable!]
  15. Dimitrios Malliaropulos & Ekaterini Panopoulou & Nikitas Pittis & Theologos Pantelidis, 2006. "The Contribution of Growth and Interest Rate Differentials to the Persistence of Real Exchange Rates," The Institute for International Integration Studies Discussion Paper Series iiisdp135, IIIS. [Downloadable!]
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