Nonparametric Rank Tests for Non-stationary Panels
AbstractThis study develops new rank tests for panels that include panel unit root tests as a special case. The tests are unusual in that they can accommodate very general forms of both serial and cross-sectional dependence, including cross-unit cointegration, without the need to specify the form of dependence or estimate nuisance parameters associated with the dependence. The tests retain high power in small samples, and in contrast to other tests that accommodate cross-sectional dependence, the limiting distributions are valid for panels with finite cross-sectional dimensions.
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Bibliographic InfoPaper provided by Institute for Advanced Studies in its series Economics Series with number 270.
Length: 37 pages
Date of creation: Jun 2011
Date of revision:
Postal: Institute for Advanced Studies - Library, Stumpergasse 56, A-1060 Vienna, Austria
Find related papers by JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
This paper has been announced in the following NEP Reports:
- NEP-ALL-2011-06-18 (All new papers)
- NEP-ECM-2011-06-18 (Econometrics)
- NEP-ETS-2011-06-18 (Econometric Time Series)
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