IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login to save this paper or follow this series

Multivariate Unit Root Tests and Testing for Convergence

  • Harvey, A.
  • Bates, D.

We examine the properties of a multivariate Dickey-Fuller t-statistic designed to test for a unit root in a panel while taking account of cross-sectional dependence. The asymptotic distribution is presented and critical values provided. When intercepts are present, a modification along the lines of Elliot, Rothenberg and Stock (1996) can be implemented. The tests have invariance properties and can be carried out even if the number of series exceeds the number of time periods. Non-zero initial conditions actually boost the power of the (unmodified) Dickey-Fuller tests confirming that they are useful for testing the hypothesis that the series are in the process of converging. Typical applications are for a moderate number of series observed over a reasonably long period of time. The example given is for the per capital incomes of six US regions observed annually from 1950 to 1999.

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://www.econ.cam.ac.uk/research/repec/cam/pdf/wp0301.pdf
Download Restriction: no

Paper provided by Faculty of Economics, University of Cambridge in its series Cambridge Working Papers in Economics with number 0301.

as
in new window

Length: 43
Date of creation: Jan 2003
Date of revision:
Handle: RePEc:cam:camdae:0301
Contact details of provider: Web page: http://www.econ.cam.ac.uk/index.htm

No references listed on IDEAS
You can help add them by filling out this form.

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

When requesting a correction, please mention this item's handle: RePEc:cam:camdae:0301. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Howard Cobb)

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.