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Multiple Comparisons and Joint Significance in Panel Unit Root Testing with Evidence on International Interest Rate Linkage

  • Hassler Uwe

    ()

    (Statistik und Methoden der Ökonometrie, Goethe-Universität Frankfurt, RuW-Gebäude, Grüneburgplatz 1, 60323 Frankfurt, Germany)

  • Werkmann Verena

    ()

    (Goethe-Universität Frankfurt, RuW-Gebäude, Grüneburgplatz 1, 60323 Frankfurt, Germany)

This paper adds to the issue of inference regarding potentially nonstationary panels where units are correlated. Recently, it has been proposed to tackle this problem by computing individual p-values and combining them to an overall joint significance. We adopt and illustrate this fairly general approach allowing for competing means to account for cross-correlation when analyzing samples of N = 10 international interest rate differentials of different maturities.

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Article provided by De Gruyter in its journal Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik).

Volume (Year): 234 (2014)
Issue (Month): 1 (February)
Pages: 23-43

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Handle: RePEc:jns:jbstat:v:234:y:2014:i:1:p:23-43
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