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Nonparametric Rank Tests for Non-stationary Panels

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Author Info

  • Pedroni, Peter

    (Williams College, Williamstown, USA)

  • Vogelsang, Timothy J.

    (Department of Economics, Michigan State University, East Lansing, USA)

  • Wagner, Martin

    (Department of Economics and Finance, Institute for Advanced Studies, Vienna, Austria, and Frisch Centre for Economic Research, Oslo)

  • Westerlund, Joakim

    (Department of Economics, University of Gothenburg, Sweden)

Abstract

This 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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File URL: http://www.ihs.ac.at/publications/eco/es-270.pdf
File Function: First version, 2011
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Bibliographic Info

Paper provided by Institute for Advanced Studies in its series Economics Series with number 270.

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Length: 37 pages
Date of creation: Jun 2011
Date of revision:
Handle: RePEc:ihs:ihsesp:270

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Related research

Keywords: Nonparametric rank tests; unit roots; cointegration; cross-sectional dependence;

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