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Misleading Inferences from Panel Unit Root Tests: a Comment

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  • George S. Ford
  • John D. Jackson
  • Audrey D. Kline

Abstract

In their 2001 paper, Breuer, McNown, and Wallace argue that panel unit root tests are flawed in that the "all or nothing nature of these procedures may lead to serious misinterpretations of tests applied to mixed panels" (2001, p. 483). The authors propose an alternative test, the SURADF test, which allows for and estimates heterogeneous rates of convergence. We show that SURADF test results are highly sensitive to the selection of panel members. As such, application of the SURADF test seems to require a sound basis for panel member selection and a caveat that all results are panel-specific. Copyright � 2006 The Authors; Journal compilation � 2006 Blackwell Publishing Ltd.

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Bibliographic Info

Article provided by Wiley Blackwell in its journal Review of International Economics.

Volume (Year): 14 (2006)
Issue (Month): 3 (08)
Pages: 508-511

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Handle: RePEc:bla:reviec:v:14:y:2006:i:3:p:508-511

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Cited by:
  1. Lau, Chi Keung Marco & Suvankulov, Farrukh & Su, Yongyang & Chau, Frankie, 2012. "Some cautions on the use of nonlinear panel unit root tests: Evidence from a modified series-specific non-linear panel unit-root test," Economic Modelling, Elsevier, vol. 29(3), pages 810-816.
  2. Eberhardt, Markus & Teal, Francis, 2009. "Econometrics for Grumblers: A New Look at the Literature on Cross-Country Growth Empirics," MPRA Paper 15813, University Library of Munich, Germany.

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