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Testing for unit roots in heterogeneous panels

Author

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  • Im, Kyung So
  • Pesaran, M. Hashem
  • Shin, Yongcheol

Abstract

Implements panel unit root tests from Im, Pesaran and Shin(2003), "Testing for Unit Roots in Heterogeneous Panels", J. of Econometrics, vol 115,53-74.
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Suggested Citation

  • 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.
  • Handle: RePEc:eee:econom:v:115:y:2003:i:1:p:53-74
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    References listed on IDEAS

    as
    1. Quah, Danny, 1994. "Exploiting cross-section variation for unit root inference in dynamic data," Economics Letters, Elsevier, vol. 44(1-2), pages 9-19.
    2. Choi, In, 2001. "Unit root tests for panel data," Journal of International Money and Finance, Elsevier, vol. 20(2), pages 249-272, April.
    3. Kaddour Hadri, 2000. "Testing for stationarity in heterogeneous panel data," Econometrics Journal, Royal Economic Society, vol. 3(2), pages 148-161.
    4. Nabeya, Seiji, 1999. "Asymptotic Moments Of Some Unit Root Test Statistics In The Null Case," Econometric Theory, Cambridge University Press, vol. 15(1), pages 139-149, February.
    5. Pesaran, M. Hashem & Smith, Ron, 1995. "Estimating long-run relationships from dynamic heterogeneous panels," Journal of Econometrics, Elsevier, vol. 68(1), pages 79-113, July.
    6. David Bowman, 1999. "Efficient tests for autoregressive unit roots in panel data," International Finance Discussion Papers 646, Board of Governors of the Federal Reserve System (U.S.).
    7. 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 631-652, Special I.
    8. Badi H. Baltagi & Chihwa Kao, 2000. "Nonstationary Panels, Cointegration in Panels and Dynamic Panels: A Survey," Center for Policy Research Working Papers 16, Center for Policy Research, Maxwell School, Syracuse University.
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