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Une synthèse des tests de racine unitaire sur données de panel

Listed author(s):
  • Christophe Hurlin
  • Valérie Mignon

Our article presents an overview of panel unit-root tests. There are two major trends in this research area. First, since the late 1990s, the workonpanelunit-roottests aimstotake accountofheterogeneityindynamic propertiesofseries.Second, attemptshaverecentlybeenmadetointroduceadichotomy betweentwogenerationsof tests.Thefirstgenerationisbased on the hypothesis of independence between units. In contrast, the second-generation tests are characterized by the rejection of the cross-sectional independence hypothesis. Our survey discusses both generations of tests.

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Article provided by La Documentation Française in its journal Economie & prévision.

Volume (Year): n° 169-170-171 (2005)
Issue (Month): 3 ()
Pages: 253-294

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Handle: RePEc:cai:ecoldc:ecop_169_0253
Contact details of provider: Web page: http://www.cairn.info/revue-economie-et-prevision.htm

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