Mean group tests for stationarity in heterogeneous panels
AbstractThis paper proposes a panel-based mean group test for the null of stationarity against the alternative of unit roots in the presence of both heterogeneity across cross-section units and serial correlation across time periods. Using both sequential and joint asymptotic analyses the proposed test statistic is shown to be distributed as standard normal under the null for large N (number of groups) and large T (number of time periods). Monte Carlo results support the use of joint asymptotic limits (under the further condition that N/T→ 0) as a guide to finite sample performance, but also clearly indicate that the power of our suggested panel-based test is substantially higher than that of the single time-series-based test. Copyright Royal Economic Society 2006
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Bibliographic InfoArticle provided by Royal Economic Society in its journal The Econometrics Journal.
Volume (Year): 9 (2006)
Issue (Month): 1 (03)
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Other versions of this item:
- Yongcheol Shin & Andy Snell, 2004. "Mean Group Tests for Stationarity in Heterogenous Panels," ESE Discussion Papers 107, Edinburgh School of Economics, University of Edinburgh.
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
- C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Longitudinal Data; Spatial Time Series
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