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Panel unit root tests under cross section dependence with recursive mean adjustment

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  • Sul, Donggyu

Abstract

Utilizing recursive mean adjustment (RMA) we provide two unit root tests: the covariate RMA unit root test and the panel feasible generalized RMA unit root test. The proposed panel unit root tests are precise and powerful, especially when TÂ >Â N.

Suggested Citation

  • Sul, Donggyu, 2009. "Panel unit root tests under cross section dependence with recursive mean adjustment," Economics Letters, Elsevier, vol. 105(1), pages 123-126, October.
    • Handle: RePEc:eee:ecolet:v:105:y:2009:i:1:p:123-126
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    1. So, Beong Soo & Shin, Dong Wan, 1999. "Recursive mean adjustment in time-series inferences," Statistics & Probability Letters, Elsevier, vol. 43(1), pages 65-73, May.
    2. Jushan Bai & Serena Ng, 2002. "Determining the Number of Factors in Approximate Factor Models," Econometrica, Econometric Society, vol. 70(1), pages 191-221, January.
    3. Jushan Bai & Serena Ng, 2004. "A PANIC Attack on Unit Roots and Cointegration," Econometrica, Econometric Society, vol. 72(4), pages 1127-1177, July.
    4. Hansen, Bruce E., 1995. "Rethinking the Univariate Approach to Unit Root Testing: Using Covariates to Increase Power," Econometric Theory, Cambridge University Press, vol. 11(5), pages 1148-1171, October.
    5. Shin, Dong Wan & Kang, Seungho & Oh, Man-Suk, 2004. "Recursive mean adjustment for panel unit root tests," Economics Letters, Elsevier, vol. 84(3), pages 433-439, September.
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    Cited by:

    1. Peter Fuleky & Carl S. Bonham & Qianxue Zhao, 2013. "Estimating Demand Elasticities in Non-Stationary Panels: The Case of Hawaii's Tourism Industry," Working Papers 201314, University of Hawaii at Manoa, Department of Economics.
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    3. Atanu Ghoshray & Issam Malki, 2021. "The share of the global energy mix: Signs of convergence?," Bulletin of Economic Research, Wiley Blackwell, vol. 73(1), pages 34-50, January.
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    5. Chudik, Alexander & Pesaran, M. Hashem, 2015. "Common correlated effects estimation of heterogeneous dynamic panel data models with weakly exogenous regressors," Journal of Econometrics, Elsevier, vol. 188(2), pages 393-420.
    6. repec:hae:wpaper:2013-2 is not listed on IDEAS
    7. Andreas Dietrich, 2012. "Does growth cause structural change, or is it the other way around? A dynamic panel data analysis for seven OECD countries," Empirical Economics, Springer, vol. 43(3), pages 915-944, December.
    8. Schmidt, Torsten & Vosen, Simeon, 2013. "Demographic change and the labour share of income," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 26(1), pages 357-378.
    9. Jäger, Philipp & Schmidt, Torsten, 2016. "The political economy of public investment when population is aging: A panel cointegration analysis," European Journal of Political Economy, Elsevier, vol. 43(C), pages 145-158.
    10. Peter Fuleky & Luigi Ventura & Qianxue Zhao, 2018. "Common correlated effects and international risk sharing," International Finance, Wiley Blackwell, vol. 21(1), pages 55-70, March.
    11. Arnone, Marco & Romelli, Davide, 2013. "Dynamic central bank independence indices and inflation rate: A new empirical exploration," Journal of Financial Stability, Elsevier, vol. 9(3), pages 385-398.
    12. Shingal, ANIRUDH, 2010. "Services growth and convergence: Getting India’s states together," MPRA Paper 32813, University Library of Munich, Germany.
    13. Stephan Smeekes, 2013. "Detrending Bootstrap Unit Root Tests," Econometric Reviews, Taylor & Francis Journals, vol. 32(8), pages 869-891, November.
    14. Yiannis Karavias & Elias Tzavalis, 2014. "Testing for unit roots in panels with structural changes, spatial and temporal dependence when the time dimension is finite," Discussion Papers 14/03, University of Nottingham, Granger Centre for Time Series Econometrics.
    15. Charles Engel & Nelson C. Mark & Kenneth D. West, 2008. "Exchange Rate Models Are Not as Bad as You Think," NBER Chapters, in: NBER Macroeconomics Annual 2007, Volume 22, pages 381-441, National Bureau of Economic Research, Inc.
    16. Westerlund, Joakim, 2015. "The effect of recursive detrending on panel unit root tests," Journal of Econometrics, Elsevier, vol. 185(2), pages 453-467.
    17. Philipp Jäger & Torsten Schmidt, 2015. "The Political Economy of Public Investment when Population is Aging – A Panel Cointegration Analysis," Ruhr Economic Papers 0557, Rheinisch-Westfälisches Institut für Wirtschaftsforschung, Ruhr-Universität Bochum, Universität Dortmund, Universität Duisburg-Essen.
    18. repec:hae:wpaper:2013-3 is not listed on IDEAS
    19. Skrobotov, Anton (Скроботов, Антон) & Turuntseva, Marina (Турунцева, Марина), 2017. "Testing the Hypothesis of a Unit Root for Independent Panels [Тестирование Гипотезы О Наличии Единичного Корня Для Независимых Панелей]," Working Papers 021707, Russian Presidential Academy of National Economy and Public Administration.

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