Testing for stationarity in large panels with cross-dependence, and US evidence on unit labor cost
AbstractA new stationarity test for heterogeneous panel data with large cross-sectional dimension is developed and used to examine a panel with growth rates of unit labor cost in the USA. The test allows for strong cross-unit dependence in the form of unbounded long-run correlation matrices, for which a simple parameterization is proposed. A KPSS-type distribution results asymptotically if letting T→∞ be followed by N→∞. Some evidence against stationarity (short memory) is found for the examined series.
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Bibliographic InfoArticle provided by Taylor and Francis Journals in its journal Journal of Applied Statistics.
Volume (Year): 37 (2010)
Issue (Month): 8 ()
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Web page: http://taylorandfrancis.metapress.com/link.asp?target=journal&id=100411
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- Matei Demetrescu, 2009. "Panel unit root testing and the martingale difference hypothesis for German stocks," Economics Bulletin, AccessEcon, vol. 29(3), pages 1749-1759.
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