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Misleading Inferences from Panel Unit Root Tests: a Reply

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  • Janice Boucher Breuer
  • Robert McNown
  • Myles Wallace

Abstract

Ford et al. (this issue) point out that the SURADF panel unit root test may be sensitive to panel composition. This reply shows that they overstate the case since they focus on a short time series of 44 observations. Type II errors are much more likely in this environment so that inconsistent conclusions may arise for individual panel members across differently composed panels. We demonstrate that this problem becomes much less likely when the number of time-series observations increases. 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: 512-516

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Handle: RePEc:bla:reviec:v:14:y:2006:i:3:p:512-516

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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. António Afonso & Christophe Rault, 2008. "3-Step Analysis of Public Finances Sustainability: the Case of the European Union," Working Papers hal-00322086, HAL.

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