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Une Synthèse des Tests de Racine Unitaire sur Données de Panel

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  • Christophe Hurlin

    () (LEO - Laboratoire d'économie d'Orleans - CNRS : UMR6221 - Université d'Orléans)

  • Valérie Mignon

    (CEPII - Centre d'études prospectives et d'informations internationales - Université de Paris X - Nanterre)

Abstract

Cet article propose une synthèse de la littérature concernant les tests de racine unitaire en panel. Deux principales évolutions peuvent être mises en évidence dans cette voie de recherche depuis les travaux fondateurs de Levin et Lin (1992). D'une part, on a pu assister depuis la fin des années 90 à une évolution tendant à prendre en compte une hétérogénéité des propriétés dynamiques des séries étudiées, avec notamment les travaux d'Im, Pesaran et Shin (1997) et de Maddala et Wu (1999). D'autre part, un second type de développements récents dans cette littérature tend à introduire une dichotomie entre deux générations de tests : la première génération repose sur une hypothèse d'indépendance entre les individus, ce qui apparaît peu plausible notamment dans le cas de certaines applications macro-économiques. La seconde génération, actuellement en plein développement, intègre diverses formes possibles de dépendances inter-individuelles (Bai et Ng (2001), Phillips et Sul (2003a), Moon et Perron (2004), Choi (2002), Pesaran (2003) et Chang (2002)). Ces deux générations de tests sont présentées dans cette revue de la littérature.

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Paper provided by HAL in its series Post-Print with number halshs-00078770.

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Date of creation: Jun 2006
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Publication status: Published, Economie et Prévision, 2006, 169, pp. 253-294
Handle: RePEc:hal:journl:halshs-00078770

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Keywords: Données de panel non stationnaires; racine unitaire; hétérogénéité; dépendances inter-individuelles;

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Cited by:
  1. Jean Fouré & Agnès Bénassy-Quéré & Lionel Fontagné, 2012. "The Great Shift: Macroeconomic projections for the world economy at the 2050 horizon," Working Papers 2012-03, CEPII research center.
  2. Candelon, Bertrand & Kool, Clemens & Raabe, Katharina & Veen, Tom van, 2007. "Long-run real exchange rate determinants: evidence from eight new EU member states, 1993–2003," Open Access publications from Maastricht University urn:nbn:nl:ui:27-23214, Maastricht University.
  3. Gaétan de Rassenfosse & Bruno Van Pottelsberghe, 2008. "On the Price Elasticity of Demand for Patents," Working Papers ECARES 2008_031, ULB -- Universite Libre de Bruxelles.
  4. Marion Leturcq, 2009. "Would you civil union me? Civil unions and taxes in France: Did the reform of income taxation raise the rate of civil unions?," PSE Working Papers halshs-00566846, HAL.
  5. Niang, Abdou-Aziz & Pichery, Marie-Claude & Edjo, Marcellin, 2010. "Convergence test in the presence of structural changes: an empirical procedure based on panel data with cross-sectional dependence," MPRA Paper 23452, University Library of Munich, Germany.
  6. Blaise Gnimassoun, 2012. "Taux de change et mésalignements du franc CFA avant et après l’introduction de l’euro," EconomiX Working Papers 2012-3, University of Paris West - Nanterre la Défense, EconomiX.
  7. Okey, Mawussé Komlagan Nézan, 2009. "Consommation d’énergies et croissance du PIB dans les pays de l’UEMOA : Une analyse en données de panel
    [Energy consumption and GDP growth in WAEMU countries : A panel data analysis]    ," MPRA Paper 15521, University Library of Munich, Germany, revised 02 Jun 2009.
  8. Mpabe Bodjongo, Mathieu Juliot, 2012. "Infrastructures institutionnelles et développement financier en zone CEMAC
    [Institutional infrastructures and financial development in zone CEMAC]    ," MPRA Paper 37824, University Library of Munich, Germany.
  9. Francis Bismans & Christelle Mougeot, 2009. "Austrian business cycle theory: Empirical evidence," The Review of Austrian Economics, Springer, vol. 22(3), pages 241-257, September.

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