Determining the Stationarity Properties of Individual Series in Panel Datasets
AbstractAn attractive feature of panel unit root tests is the ability to exploit coefficient homogeneity under the null hypothesis of a unit root for all series in order to obtain a more powerful test of the unit root hypothesis. However, under the alternative hypothesis of heterogeneous panel unit root tests of at least one series being stationary, the researcher is left with little idea of how to proceed. In other words if we reject the unit root hypothesis we do not know which series caused the rejection. We propose a method that enables the distinction of a set of series into a group of stationary and a group of nonstationary series. We discuss its theoretical properties and investigate its small sample performance in a Monte Carlo study.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by Queen Mary, University of London, School of Economics and Finance in its series Working Papers with number 495.
Date of creation: Jul 2003
Date of revision:
Panel unit root tests; Sequential testing;
Find related papers by JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- 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
This paper has been announced in the following NEP Reports:
- NEP-CMP-2003-07-13 (Computational Economics)
- NEP-ECM-2003-07-16 (Econometrics)
- NEP-ETS-2003-07-13 (Econometric Time Series)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- MacKinnon, James G. & Smith Jr., Anthony A., 1998.
"Approximate bias correction in econometrics,"
Journal of Econometrics, Elsevier,
Elsevier, vol. 85(2), pages 205-230, August.
- James G. MacKinnon & Anthony A. Smith Jr., 1995. "Approximate Bias Correction in Econometrics," Working Papers, Queen's University, Department of Economics 919, Queen's University, Department of Economics.
- Mackinnon, J.G. & Smith, A.A., 1996. "Approximate Bias Correction in Econometrics," G.R.E.Q.A.M., Universite Aix-Marseille III 96a14, Universite Aix-Marseille III.
- James G. MacKinnon & Anthony A. Smith, Jr., . "Approximate Bias Correction in Econometrics," GSIA Working Papers, Carnegie Mellon University, Tepper School of Business 1997-36, Carnegie Mellon University, Tepper School of Business.
- Smeekes Stephan, 2011. "Bootstrap Sequential Tests to Determine the Stationary Units in a Panel," Research Memorandum 003, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
- George Kapetanios, 2003. "Determining the Poolability of Individual Series in Panel Datasets," Working Papers, Queen Mary, University of London, School of Economics and Finance 499, Queen Mary, University of London, School of Economics and Finance.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Nick Vriend).
If references are entirely missing, you can add them using this form.