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Identifying I(0) Series in Macro-panels: Are Sequential Panel Selection Methods Useful?

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  • Costantini, Mauro

    ()

  • Lupi, Claudio

    ()

Abstract

Sequential panel selection methods (spsms) are based on the repeated application of panel unit root tests and are increasingly used to identify I (0) time series in macro- panels. We check the reliability of spsms by using Monte Carlo simulations based on generating the individual test statistics and the p values to be combined into panel unit root tests, both under the unit root null and under selected local alternatives. The analysis is carried out considering both independent and dependent test statistics. We show that spsms do not possess better classification performances than conventional univariate tests.

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File URL: http://web.unimol.it/progetti/repec/mol/ecsdps/ESDP14073.pdf
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Bibliographic Info

Paper provided by University of Molise, Dept. EGSeI in its series Economics & Statistics Discussion Papers with number esdp14073.

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Length: 18
Date of creation: 29 Mar 2014
Date of revision:
Handle: RePEc:mol:ecsdps:esdp14073

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Keywords: Unit root; Panel data; ROC curve; Simulation;

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  1. Costantini, Mauro & Lupi, Claudio, 2011. "A Simple Panel-CADF Test for Unit Roots," Economics Series 261, Institute for Advanced Studies.
  2. Hanck, Christoph, 2008. "The Error-in-Rejection Probability of meta-analytic panel tests," Economics Letters, Elsevier, vol. 101(1), pages 27-30, October.
  3. Matei Demetrescu & Uwe Hassler & Adina-Ioana Tarcolea, 2006. "Combining Significance of Correlated Statistics with Application to Panel Data," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 68(5), pages 647-663, October.
  4. Im, Kyung So & Pesaran, M. Hashem & Shin, Yongcheol, 2003. "Testing for unit roots in heterogeneous panels," Journal of Econometrics, Elsevier, vol. 115(1), pages 53-74, July.
  5. Maddala, G S & Wu, Shaowen, 1999. " A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 61(0), pages 631-52, Special I.
  6. Choi, In, 2001. "Unit root tests for panel data," Journal of International Money and Finance, Elsevier, vol. 20(2), pages 249-272, April.
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