Are Panel Unit Root Tests Useful for Real-Time Data?
AbstractWith the development of real-time databases, N vintages are available for T observations instead of a single realization of the time series process. Although the use of panel unit root tests with the aim to gain in efficiency seems obvious, empirical and simulation results shown in this paper heavily mitigate the intuitive perspective.
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Bibliographic InfoPaper provided by Maastricht : METEOR, Maastricht Research School of Economics of Technology and Organization in its series Research Memoranda with number 012.
Date of creation: 2011
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Web page: http://www.maastrichtuniversity.nl/web/UMPublications.htm
This paper has been announced in the following NEP Reports:
- NEP-ALL-2011-02-26 (All new papers)
- NEP-ECM-2011-02-26 (Econometrics)
- NEP-ETS-2011-02-26 (Econometric Time Series)
- NEP-MAC-2011-02-26 (Macroeconomics)
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