Testing for Stationarity in Panel Data when Errors are Serially Correlated. Finite-Sample Results
AbstractAbstract: In this paper, we study the small sample properties of the panel data stationarity test of Hadri (2000). We find that the previously suggested moments, that are to be used when standardizing the panel data stationarity test, cause size distortions when samples are small and serial correlation in the disturbance terms is allowed for. Instead, we supply standardizing moments that are to be used in a panel data stationarity test when samples are small and serial correlation in the disturbances may be an issue. We also document a serious small-sample bias in the panel data stationarity test when a linear trend is present in the data.
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Bibliographic InfoPaper provided by Lund University, Department of Economics in its series Working Papers with number 2005:16.
Length: 17 pages
Date of creation: 18 Feb 2005
Date of revision:
Contact details of provider:
Postal: Department of Economics, School of Economics and Management, Lund University, Box 7082, S-220 07 Lund,Sweden
Phone: +46 +46 222 0000
Fax: +46 +46 2224613
Web page: http://www.nek.lu.se/en
More information through EDIRC
Panel Data; Stationarity; Serial Correlation; Monte Carlo Simulation;
Find related papers by JEL classification:
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
This paper has been announced in the following NEP Reports:
- NEP-ALL-2005-02-27 (All new papers)
- NEP-ECM-2005-02-27 (Econometrics)
- NEP-ETS-2005-02-27 (Econometric Time Series)
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