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Misleading Inferences from Panel Unit Root Tests: a Comment

Author

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  • George S. Ford
  • John D. Jackson
  • Audrey D. Kline

Abstract

In their 2001 paper, Breuer, McNown, and Wallace argue that panel unit root tests are flawed in that the "all or nothing nature of these procedures may lead to serious misinterpretations of tests applied to mixed panels" (2001, p. 483). The authors propose an alternative test, the SURADF test, which allows for and estimates heterogeneous rates of convergence. We show that SURADF test results are highly sensitive to the selection of panel members. As such, application of the SURADF test seems to require a sound basis for panel member selection and a caveat that all results are panel-specific. Copyright © 2006 The Authors; Journal compilation © 2006 Blackwell Publishing Ltd.

Suggested Citation

  • George S. Ford & John D. Jackson & Audrey D. Kline, 2006. "Misleading Inferences from Panel Unit Root Tests: a Comment," Review of International Economics, Wiley Blackwell, vol. 14(3), pages 508-511, August.
  • Handle: RePEc:bla:reviec:v:14:y:2006:i:3:p:508-511
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    Cited by:

    1. Lau, Chi Keung Marco & Suvankulov, Farrukh & Su, Yongyang & Chau, Frankie, 2012. "Some cautions on the use of nonlinear panel unit root tests: Evidence from a modified series-specific non-linear panel unit-root test," Economic Modelling, Elsevier, vol. 29(3), pages 810-816.
    2. Markus Eberhardt & Francis Teal, 2011. "Econometrics For Grumblers: A New Look At The Literature On Cross‐Country Growth Empirics," Journal of Economic Surveys, Wiley Blackwell, vol. 25(1), pages 109-155, February.
    3. Markus Eberhardt & Francis Teal, 2011. "Econometrics For Grumblers: A New Look At The Literature On Cross‐Country Growth Empirics," Journal of Economic Surveys, Wiley Blackwell, vol. 25(1), pages 109-155, 02.

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