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Second Generation Panel Unit Root Tests

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Author Info
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, EconomiX - CNRS : UMR7166 - Université de Paris X - Nanterre)

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Abstract

This article proposes an overview of the recent developments relating to panel unit root tests. After a brief review of the first generation panel unit root tests, this paper focuses on the tests belonging to the second generation. The latter category of tests is characterized by the rejection of the cross-sectional independence hypothesis. Within this second generation of tests, two main approaches are distinguished. The first one relies on the factor structure approach and includes the contributions of Bai and Ng (2001), Phillips and Sul (2003a), Moon and Perron (2004a), Choi (2002) and Pesaran (2003) among others. The second approach consists in imposing few or none restrictions on the residuals covariance matrix and has been adopted notably by Chang (2002, 2004), who proposed the use of nonlinear instrumental variables methods or the use of bootstrap approaches to solve the nuisanceparameter problem due to cross-sectional dependency.

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Paper provided by HAL in its series Working Papers with number halshs-00159842_v1.

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Date of creation: 04 Jul 2007
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Handle: RePEc:hal:wpaper:halshs-00159842_v1

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Related research
Keywords: Nonstationary panel data; unit root; heterogeneity; cross-sectional dependencies;

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  1. Herwartz, Helmut & Reimers, Hans-Eggert, 2006. "Modelling the Fisher hypothesis: World wide evidence," Economics Working Papers 2006,04, Christian-Albrechts-University of Kiel, Department of Economics. [Downloadable!]
  2. Hyungsik Roger Moon & Benoit Perron, 2005. "An Empirical Analysis of Nonstationarity in Panels of Exchange Rates and Interest Rates with Factors," IEPR Working Papers 05.35, Institute of Economic Policy Research (IEPR). [Downloadable!]
  3. Antonia López Villavicencio, 2006. "Real equilibrium exchange rates. A panel data approach for advanced and emerging economies," Working Papers wpdea0605, Department of Applied Economics at Universitat Autonoma of Barcelona. [Downloadable!]
    Other versions:
  4. Dieter Gerdesmeier & Barbara Roffia & Hans-Eggert Reimers, 2009. "Asset price misalignments and the role of money and credit," Working Paper Series 1068, European Central Bank. [Downloadable!]
  5. Julián Ramajo Hernández(1) & Montserrat Ferré Carracedo(2), . "Testing For Long-Run Purchasing Power Parity In The Post Bretton Woods Era: Evidence From Old And New Tests," Working Papers 24-05 Classification-JEL , Instituto de Estudios Fiscales. [Downloadable!]
  6. Haluk Erlat, . "Persistence in Turkish Real Exchange Rates: Panel Approaches," FIW Working Paper series 029, FIW. [Downloadable!]
  7. Helmut Herwartz & Hans-Eggert Reimers, 2006. "Panel non stationary tests of the Fisher hypothesis in a world wide context. An analysis of 114 economies during the period 1960-2004," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 6(3). [Downloadable!] (restricted)
  8. Galimberti, Jaqueson Kingeski & Cupertino, César Medeiros, 2009. "Explaining earnings persistence: a threshold autoregressive panel unit root approach," MPRA Paper 14237, University Library of Munich, Germany. [Downloadable!]
  9. N. Vasudeva Murthy, 2009. "The Feldstein–Horioka puzzle in Latin American and Caribbean countries: a panel cointegration analysis," Journal of Economics and Finance, Springer, vol. 33(2), pages 176-188, April. [Downloadable!] (restricted)
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