Mean Group Tests for Stationarity in Heterogenous Panels
AbstractThis paper proposes the panel-based mean group tests for the null of stationarity against the alternative of unit roots in the presence of both heterogeneity across crosssection units and serial correlation across time periods. Using both sequential and joint asymptotic analyses the proposed test statistic is shown to be distributed as standard normal under the null for large N (number of groups) and large T (number of time periods). Monte Carlo results support the use of join asymptotic limits (under further condition that N/T ? 0) as a guide to finite sample performance, but also clearly indicate that the power of our suggested panel-based test is substantially higher than that of the single time series-based test.
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Bibliographic InfoPaper provided by Edinburgh School of Economics, University of Edinburgh in its series ESE Discussion Papers with number 107.
Date of creation: Mar 2004
Date of revision:
Mean Group Tests; Heterogeneous Panels; Joint Asymptotic Theory; Stationarity; Unit Roots; Monte Carlo Simulation; Finite Sample Adjustment.;
Other versions of this item:
- Yongcheol Shin & Andy Snell, 2006. "Mean group tests for stationarity in heterogeneous panels," Econometrics Journal, Royal Economic Society, vol. 9(1), pages 123-158, 03.
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
- C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Longitudinal Data; Spatial Time Series
This paper has been announced in the following NEP Reports:
- NEP-ALL-2004-03-14 (All new papers)
- NEP-ECM-2004-03-14 (Econometrics)
- NEP-ETS-2004-03-14 (Econometric Time Series)
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