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Choosing Between Panel Data Stationarity Tests

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  • Kristian Jönsson

    (National Institute of Economic Research)

Abstract

When testing for stationarity in panel data several tests are available. These tests differ in degree to which they allow for serial correlation in the series under the null hypothesis. In the current paper, a serial correlation test for panel data is proposed. The suggested test can be used to choose between the available stationarity tests, and provides a statistical ground for choosing an appropriate framework when investigating the stationarity hypothesis in panel data situations.

Suggested Citation

  • Kristian Jönsson, 2008. "Choosing Between Panel Data Stationarity Tests," Economics Bulletin, AccessEcon, vol. 3(25), pages 1-8.
    • Handle: RePEc:ebl:ecbull:eb-07c30092
    as

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    References listed on IDEAS

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