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Robust panel unit root tests for cross-sectionally dependent multiple time series

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  • Shin, Dong Wan
  • Park, Sangun

Abstract

Robust panel unit root tests are developed for cross-sectionally dependent multiple time series. The tests have limiting null distributions derived from standard normal distributions. A Monte Carlo experiment shows that the tests have better finite sample robust performance than existing tests. Some Latin American real exchange rates revealing many outlying observations are analyzed to check the purchasing power parity (PPP) theory.

Suggested Citation

  • Shin, Dong Wan & Park, Sangun, 2010. "Robust panel unit root tests for cross-sectionally dependent multiple time series," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2801-2813, November.
    • Handle: RePEc:eee:csdana:v:54:y:2010:i:11:p:2801-2813
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    References listed on IDEAS

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    1. So, Beong Soo & Shin, Dong Wan, 2001. "An invariant sign test for random walks based on recursive median adjustment," Journal of Econometrics, Elsevier, vol. 102(2), pages 197-229, June.
    2. Moon, H.R.Hyungsik Roger & Perron, Benoit, 2004. "Testing for a unit root in panels with dynamic factors," Journal of Econometrics, Elsevier, vol. 122(1), pages 81-126, September.
    3. Dong Wan Shin & Beong Soo So, 2001. "recursive Mean Adjustment for Unit Root Tests," Journal of Time Series Analysis, Wiley Blackwell, vol. 22(5), pages 595-612, September.
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    5. Lee, Yonghee & Shin, Dong Wan, 2009. "Optimal tests against the alternative hypothesis of panel unit roots," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2275-2283, April.
    6. 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.
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    8. Cerrato, Mario & Sarantis, Nicholas, 2007. "A bootstrap panel unit root test under cross-sectional dependence, with an application to PPP," Computational Statistics & Data Analysis, Elsevier, vol. 51(8), pages 4028-4037, May.
    9. Choi, In, 2001. "Unit root tests for panel data," Journal of International Money and Finance, Elsevier, vol. 20(2), pages 249-272, April.
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    11. Chang, Yoosoon, 2002. "Nonlinear IV unit root tests in panels with cross-sectional dependency," Journal of Econometrics, Elsevier, vol. 110(2), pages 261-292, October.
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