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An Intersection Test for Panel Unit Roots

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  • Christoph Hanck
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    Abstract

    This article proposes a new panel unit root test based on Simes’ (1986) classical intersection test. The test is robust to general patterns of cross-sectional dependence and yet is straightforward to implement, only requiring p -values of time series unit root tests of the series in the panel, and no resampling. Monte Carlo experiments show good size and power properties relative to existing panel unit root tests. Unlike previously suggested tests, the new test allows to identify the units in the panel for which the alternative of stationarity can be said to hold. We provide an empirical application to real exchange rate data.

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    File URL: http://hdl.handle.net/10.1080/07474938.2011.608058
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    Bibliographic Info

    Article provided by Taylor & Francis Journals in its journal Econometric Reviews.

    Volume (Year): 32 (2013)
    Issue (Month): 2 (February)
    Pages: 183-203

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    Handle: RePEc:taf:emetrv:v:32:y:2013:i:2:p:183-203

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    Cited by:
    1. Christoph Hanck & Robert Czudaj, 2013. "Nonstationary-Volatility Robust Panel Unit Root Tests and the Great Moderation," Ruhr Economic Papers 0434, Rheinisch-Westfälisches Institut für Wirtschaftsforschung, Ruhr-Universität Bochum, Universität Dortmund, Universität Duisburg-Essen.
    2. Verena Werkmann, 2013. "Performance of unit root tests in unbalanced panels: experimental evidence," AStA Advances in Statistical Analysis, Springer, vol. 97(3), pages 271-285, July.

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