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Lessons from a Decade of IPS and LLC

  • Joakim Westerlund
  • J�rg Breitung

This paper points to some of the facts that have emerged from 20 years of research into the analysis of unit roots in panel data, an area that has been heavily influenced by two studies, IPS (Im, Pesaran, and Shin, 2003) and LLC (Levin et al., 2002). Some of these facts are known, others are not. But they all have in common that, if ignored, the effects can be very serious. This is demonstrated using both simulations and theoretical arguments.

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File URL: http://hdl.handle.net/10.1080/07474938.2013.741023
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Article provided by Taylor & Francis Journals in its journal Econometric Reviews.

Volume (Year): 32 (2013)
Issue (Month): 5-6 (August)
Pages: 547-591

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Handle: RePEc:taf:emetrv:v:32:y:2013:i:5-6:p:547-591
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  2. Moon, H.R. & Perron, B. & Phillips, P.C.B., 2006. "On The Breitung Test For Panel Unit Roots And Local Asymptotic Power," Econometric Theory, Cambridge University Press, vol. 22(06), pages 1179-1190, December.
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  16. Peter C.B. Phillips, 1985. "Time Series Regression with a Unit Root," Cowles Foundation Discussion Papers 740R, Cowles Foundation for Research in Economics, Yale University, revised Feb 1986.
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  26. Arellano, Manuel & Bond, Stephen, 1991. "Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations," Review of Economic Studies, Wiley Blackwell, vol. 58(2), pages 277-97, April.
  27. 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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