What would Nelson and Plosser find had they used panel unit root tests?
AbstractIn this study, we systemically apply nine recent panel unit root tests to the same fourteen macroeconomic and financial series as those considered in the seminal paper by Nelson and Plosser (1982). The data cover OECD countries from 1950 to 2003. Our results clearly point out the difficulty that applied econometricians would face when they want to get a simple and clear-cut diagnosis with panel unit root tests. We confirm the fact that panel methods must be very carefully used for testing unit roots in macroeconomic or financial panels. More precisely, we find mitigated results under the cross-sectional independence assumption, since the unit root hypothesis is rejected for many macroeconomic variables. When international cross-correlations are taken into account, conclusions depend on the specification of these cross-sectional dependencies. Two groups of tests can be distinguished. The first group tests are based on a dynamic factor structure or an error component model. In this case, the non stationarity of common factors (international business cycles or growth trends) is not rejected, but the results are less clear with respect to idiosyncratic components. The second group tests are based on more general specifications. Their results are globally more favourable to the unit root assumption.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by HAL in its series Working Papers with number halshs-00156685.
Date of creation: 22 Jun 2007
Date of revision:
Note: View the original document on HAL open archive server: http://halshs.archives-ouvertes.fr/halshs-00156685/en/
Contact details of provider:
Web page: http://hal.archives-ouvertes.fr/
Panel Unit Root Tests;
Other versions of this item:
- Christophe Hurlin, 2010. "What would Nelson and Plosser find had they used panel unit root tests?," Applied Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 42(12), pages 1515-1531.
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Claudiu Tiberiu Albulescu & Dominique Pepin & Aviral Kumar Tiwari, 2014.
"A re-examination of real interest parity in CEECs using old and new generations of panel unit root tests,"
- Claudiu Tiberiu Albulescu & Dominique Pepin & Aviral Kumar Tiwari, 2014. "A RE-EXAMINATION OF REAL INTEREST PARITY IN CEECs USING OLD AND NEW GENERATIONS OF PANEL UNIT ROOT TESTS," Working Papers hal-00959475, HAL.
- Marc Joëts & Valérie Mignon, 2011.
"On the link between forward energy prices: A nonlinear panel cointegration approach,"
EconomiX Working Papers
2011-25, University of Paris West - Nanterre la Défense, EconomiX.
- Joëts, Marc & Mignon, Valérie, 2012. "On the link between forward energy prices: A nonlinear panel cointegration approach," Energy Economics, Elsevier, Elsevier, vol. 34(4), pages 1170-1175.
- Lean, Hooi Hooi & Smyth, Russell, 2013.
"Will policies to promote renewable electricity generation be effective? Evidence from panel stationarity and unit root tests for 115 countries,"
Renewable and Sustainable Energy Reviews, Elsevier,
Elsevier, vol. 22(C), pages 371-379.
- Hooi Hooi Lean & Russell Smyth, 2012. "Will policies to promote renewable electricity generation be effective? Evidence from panel stationarity and unit root tests for 115 countries," Development Research Unit Working Paper Series, Monash University, Department of Economics 15-12, Monash University, Department of Economics.
- Mishra, Vinod & Sharma, Susan & Smyth, Russell, 2009. "Are fluctuations in energy consumption per capita transitory? Evidence from a panel of Pacific Island countries," Energy Policy, Elsevier, Elsevier, vol. 37(6), pages 2318-2326, June.
- Amélie Charles & Olivier Darné & Jean-François Hoarau, 2009. "Does the real GDP per capita convergence hold in the Common Market for Eastern and Southern Africa?," Working Papers hal-00422522, HAL.
- Marcus Kappler, 2011. "Business Cycle Co-movement and Trade Intensity in the Euro Area: is there a Dynamic Link?," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), Justus-Liebig University Giessen, Department of Statistics and Economics, Justus-Liebig University Giessen, Department of Statistics and Economics, vol. 231(2), pages 247-265, April.
- Dimelis, Sophia P. & Papaioannou, Sotiris K., 2011. "ICT growth effects at the industry level: A comparison between the US and the EU," Information Economics and Policy, Elsevier, Elsevier, vol. 23(1), pages 37-50, March.
- Amélie Charles & Olivier Darne & Jean-François Hoarau, 2012. "Convergence of real per capita GDP within COMESA countries: A panel unit root evidence," The Annals of Regional Science, Springer, Springer, vol. 49(1), pages 53-71, August.
- Evangelia Papapetrou & Dimitrios Bakas, 2012. "Unemployment in Greece: evidence from Greek regions," Working Papers, Bank of Greece 146, Bank of Greece.
- Kiliç, Cuneyt & Arica, Feyza, 2014. "Economic Freedom, Inflation Rate and their Impact on Economic Growth: A Panel Data Analysis," Journal for Economic Forecasting, Institute for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 160-176, March.
- Cuneyt KILIC & Yýlmaz BAYAR & Feyza ARICA, 2014. "Effects of Currency Unions on Foreign Direct Investment Inflows: The European Economic and Monetary Union Case," International Journal of Economics and Financial Issues, Econjournals, vol. 4(1), pages 8-15.
- Aviral Tiwari & Amrit Chaudhari & K. Suresh, 2012. "Are Asian Per Capita GDP Stationary? Evidence from First and Second Generation Panel Unit Root Tests," Transition Studies Review, Springer, Springer, vol. 19(1), pages 3-11, September.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (CCSD).
If references are entirely missing, you can add them using this form.