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On the power and interpretation of panel unit root tests

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Author Info
Karlsson, Sune () (Dept. of Economic Statistics, Stockholm School of Economics)
Löthgren, Mickael () (Dept. of Economic Statistics, Stockholm School of Economics)

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Abstract

We demonstrate that panel unit root tests can have high power when a small fraction of the series are stationary and may lack power when a large fraction is stationary. The acceptance or rejection of the null is thus not sufficient evidence to conclude that all series have a unit root or that all are stationary.

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Publisher Info
Paper provided by Stockholm School of Economics in its series Working Paper Series in Economics and Finance with number 299.

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Length: 11 pages
Date of creation: 04 Feb 1999
Date of revision:
Publication status: Published in Economics Letters, 2000, pages 249-255.
Handle: RePEc:hhs:hastef:0299

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Postal: The Economic Research Institute, Stockholm School of Economics, P.O. Box 6501, 113 83 Stockholm, Sweden
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Related research
Keywords: Dynamic panels; Monte Carlo; heterogeneity;

Other versions of this item:

Find related papers by JEL classification:
C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Hypothesis Testing
C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Statistical Simulation Methods
C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions
C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data

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This page was last updated on 2009-11-28.

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