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Choosing Between Panel Data Stationarity Tests

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Author Info
Kristian Jönsson () (National Institute of Economic Research)

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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.

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File URL: http://economicsbulletin.vanderbilt.edu/2008/volume3/EB-07C30092A.pdf
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Publisher Info
Article provided by Economics Bulletin in its journal Economics Bulletin.

Volume (Year): 3 (2008)
Issue (Month): 25 ()
Pages: 1-8
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:ebl:ecbull:v:3:y:2008:i:25:p:1-8

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Find related papers by JEL classification:
C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables

References listed on IDEAS
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  1. Kaddour Hadri & Rolf Larsson, 2005. "Testing for stationarity in heterogeneous panel data where the time dimension is finite," Econometrics Journal, Royal Economic Society, vol. 8(1), pages 55-69, 03. [Downloadable!] (restricted)
  2. Im, Kyung So & Pesaran, M. Hashem & Shin, Yongcheol, 2003. "Testing for unit roots in heterogeneous panels," Journal of Econometrics, Elsevier, vol. 115(1), pages 53-74, July. [Downloadable!] (restricted)
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  3. Yongcheol Shin & Andy Snell, 2006. "Mean group tests for stationarity in heterogeneous panels," Econometrics Journal, Royal Economic Society, vol. 9(1), pages 123-158, 03. [Downloadable!] (restricted)
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  4. Kaddour Hadri, 2000. "Testing for stationarity in heterogeneous panel data," Econometrics Journal, Royal Economic Society, vol. 3(2), pages 148-161.
    Other versions:
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This page was last updated on 2009-12-12.

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