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A note on the use of the LLC panel unit root test

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  • Joakim Westerlund

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  • Joakim Westerlund, 2009. "A note on the use of the LLC panel unit root test," Empirical Economics, Springer, vol. 37(3), pages 517-531, December.
    • Handle: RePEc:spr:empeco:v:37:y:2009:i:3:p:517-531
    DOI: 10.1007/s00181-008-0244-8
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    References listed on IDEAS

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    1. John Y. Campbell & Pierre Perron, 1991. "Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots," NBER Chapters, in: NBER Macroeconomics Annual 1991, Volume 6, pages 141-220, National Bureau of Economic Research, Inc.
    2. Moon, H.R.Hyungsik Roger & Perron, Benoit, 2004. "Testing for a unit root in panels with dynamic factors," Journal of Econometrics, Elsevier, vol. 122(1), pages 81-126, September.
    3. Jörg Breitung & Samarjit Das, 2005. "Panel unit root tests under cross‐sectional dependence," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 59(4), pages 414-433, November.
    4. Syed Abul Basher & Mohammed Mohsin, 2004. "PPP tests in cointegrated panels: evidence from Asian developing countries," Applied Economics Letters, Taylor & Francis Journals, vol. 11(3), pages 163-166.
    5. Karlsson, Sune & Lothgren, Mickael, 2000. "On the power and interpretation of panel unit root tests," Economics Letters, Elsevier, vol. 66(3), pages 249-255, March.
    6. repec:bla:obuest:v:61:y:1999:i:0:p:631-52 is not listed on IDEAS
    7. Jesús Crespo‐Cuaresma & Jarko Fidrmuc & Ronald MacDonald, 2005. "The monetary approach to exchange rates in the CEECs," The Economics of Transition, The European Bank for Reconstruction and Development, vol. 13(2), pages 395-416, April.
    8. Kim, Hongkee & Oh, Keun-Yeob & Jeong, Chan-Woo, 2005. "Panel cointegration results on international capital mobility in Asian economies," Journal of International Money and Finance, Elsevier, vol. 24(1), pages 71-82, February.
    9. 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.
    10. G. S. Maddala & Shaowen Wu, 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(S1), pages 631-652, November.
    11. Levin, Andrew & Lin, Chien-Fu & James Chu, Chia-Shang, 2002. "Unit root tests in panel data: asymptotic and finite-sample properties," Journal of Econometrics, Elsevier, vol. 108(1), pages 1-24, May.
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    Citations

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    Cited by:

    1. Westerlund, Joakim & Blomquist, Johan, 2009. "Are Crime Rates Really Stationary?," Working Papers in Economics 381, University of Gothenburg, Department of Economics.
    2. Norkutė, Milda & Westerlund, Joakim, 2021. "The factor analytical approach in near unit root interactive effects panels," Journal of Econometrics, Elsevier, vol. 221(2), pages 569-590.
    3. Xu, Bin & Lin, Boqiang, 2020. "Investigating drivers of CO2 emission in China’s heavy industry: A quantile regression analysis," Energy, Elsevier, vol. 206(C).
    4. Nihal Ahmed & Adnan Ahmed Sheikh & Zeeshan Hamid & Piotr Senkus & Ricardo Cosio Borda & Aneta Wysokińska-Senkus & Waldemar Glabiszewski, 2022. "Exploring the Causal Relationship among Green Taxes, Energy Intensity, and Energy Consumption in Nordic Countries: Dumitrescu and Hurlin Causality Approach," Energies, MDPI, vol. 15(14), pages 1-15, July.
    5. Joakim Westerlund & Johan Blomquist, 2013. "A modified LLC panel unit root test of the PPP hypothesis," Empirical Economics, Springer, vol. 44(2), pages 833-860, April.
    6. Skrobotov, Anton (Скроботов, Антон) & Turuntseva, Marina (Турунцева, Марина), 2017. "Testing the Hypothesis of a Unit Root for Independent Panels [Тестирование Гипотезы О Наличии Единичного Корня Для Независимых Панелей]," Working Papers 021707, Russian Presidential Academy of National Economy and Public Administration.
    7. repec:zbw:bofrdp:2010_014 is not listed on IDEAS
    8. Kauko, Karlo, 2010. "The feasibility of through-the-cycle ratings," Bank of Finland Research Discussion Papers 14/2010, Bank of Finland.

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    Keywords

    Panel data; Unit root test;

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