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Panel unit root tests in the presence of cross-sectional dependence: finite sample performance and an application

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Author Info
S. de Silva
K. Hadri
A. R. Tremayne

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Abstract

This paper examines the finite sample properties of three testing regimes for the null hypothesis of a panel unit root against stationary alternatives in the presence of cross-sectional correlation. The regimes of Bai and Ng (2004), Moon and Perron (2004) and Pesaran (2007) are assessed in the presence of multiple factors and also other non-standard situations. The behaviour of some information criteria used to determine the number of factors in a panel is examined and new information criteria with improved properties in small-N panels proposed. An application to the efficient markets hypothesis is also provided. The null hypothesis of a panel random walk is not rejected by any of the tests, supporting the efficient markets hypothesis in the financial services sector of the Australian Stock Exchange. Copyright © 2009 The Author(s). Journal compilation © Royal Economic Society 2009

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File URL: http://www.blackwell-synergy.com/doi/abs/10.1111/j.1368-423X.2009.00287.x
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Publisher Info
Article provided by Royal Economic Society in its journal Econometrics Journal.

Volume (Year): 12 (2009)
Issue (Month): 2 (07)
Pages: 340-366
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Handle: RePEc:ect:emjrnl:v:12:y:2009:i:2:p:340-366

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  1. Amélie Charles & Olivier Darné & Jean-François Hoarau, 2009. "Does the real GDP per capita convergence hold in the Common Market for Eastern and Southern Africa?," Working Papers hal-00422522_v1, HAL. [Downloadable!]
  2. Kaddour Hadri & Eiji Kurozumi, 2008. "A Simple Panel Stationarity Test in the Presence of Cross-Sectional Dependence," Global COE Hi-Stat Discussion Paper Series gd08-016, Institute of Economic Research, Hitotsubashi University. [Downloadable!]
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This page was last updated on 2009-11-27.

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