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A simple panel stationarity test in the presence of serial correlation and a common factor

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Author Info

  • Hadri, Kaddour
  • Kurozumi, Eiji

Abstract

This paper develops a simple test à la Pesaran (2007) for the null hypothesis of stationarity in heterogeneous panel data with cross-sectional dependence in the form of a common factor in the disturbance. We also allow for serial correlation.

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File URL: http://www.sciencedirect.com/science/article/pii/S0165176511005015
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Bibliographic Info

Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 115 (2012)
Issue (Month): 1 ()
Pages: 31-34

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Handle: RePEc:eee:ecolet:v:115:y:2012:i:1:p:31-34

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Web page: http://www.elsevier.com/locate/ecolet

Related research

Keywords: Panel data; Stationarity; KPSS test; Cross-sectional dependence; Common factor;

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Cited by:
  1. Eiji Kurozumi & Daisuke Yamazaki & Kaddour Hadri, 2012. "Covariate Unit Root Test for Cross-Sectionally Dependent Panel Data," Global COE Hi-Stat Discussion Paper Series gd12-256, Institute of Economic Research, Hitotsubashi University.

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