Mean Group Tests for Stationarity in Heterogeneous Panels
This paper proposes the panel-based mean group tests for the null of stationarity against the alternative of unit roots in the presence of both heterogeneity across cross-section units and serial correlation across time periods. Using both sequential and joint asymptotic analyses the proposed test statistic is shown to be distributed as standard normal under the null for large N (number of groups) and large T (number of time periods). Monte Carlo results support the use of join asymptotic limits (under further condition that N/T -> 0) as a guide to finite sample performance, but also clearly indicate that the power of our suggested panel-based test is substantially higher than that of the single time series-based test.
|Date of creation:||Aug 2002|
|Contact details of provider:|| Postal: 31 Buccleuch Place, EH8 9JT, Edinburgh|
Web page: http://www.econ.ed.ac.uk/
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Suzanne McCoskey & Chihwa Kao, 1998.
"A residual-based test of the null of cointegration in panel data,"
Taylor & Francis Journals, vol. 17(1), pages 57-84.
- Chihwa Kao & Suzanne McCoskey, 1997. "A Residual-Based Test Of The Null Of Cointegration In Panel Data," Econometrics 9711002, EconWPA.
- Quah, Danny, 1994. "Exploiting cross-section variation for unit root inference in dynamic data," Economics Letters, Elsevier, vol. 44(1-2), pages 9-19.
- Danny Quah, 1993. "Exploiting Cross Section Variation for Unit Root Inference in Dynamic Data," FMG Discussion Papers dp171, Financial Markets Group.
- Quah, D., 1993. "Exploiting Cross Section Variation for Unit Root Inference in Dynamic Data," Papers 549, Stockholm - International Economic Studies.
- Kaddour Hadri, 2000. "Testing for stationarity in heterogeneous panel data," Econometrics Journal, Royal Economic Society, vol. 3(2), pages 148-161.
- Kaddour Hadri, 1999. "Testing For Stationarity In Heterogeneous Panel Data," Research Papers 1999_04, University of Liverpool Management School.
- Choi, In, 2001. "Unit root tests for panel data," Journal of International Money and Finance, Elsevier, vol. 20(2), pages 249-272, April.
- Kao, Chihwa, 1999. "Spurious regression and residual-based tests for cointegration in panel data," Journal of Econometrics, Elsevier, vol. 90(1), pages 1-44, May.
- Snell, Andy, 1998. "Testing for r versus r-1 cointegrating vectors," Journal of Econometrics, Elsevier, vol. 88(1), pages 151-191, November.
- Andy Snell, "undated". "Testing For R Versus R-1 Cointegrating Vectors," Discussion Papers 1995-10, Edinburgh School of Economics, University of Edinburgh.
- 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.
- Pesaran, M.H. & Smith, R., 1992. "Estimating Long-Run Relationships From Dynamic Heterogeneous Panels," Cambridge Working Papers in Economics 9215, Faculty of Economics, University of Cambridge.
- McCabe, B.P.M. & Leybourne, S.J., 1998. "On Estimating An Arma Model With An Ma Unit Root," Econometric Theory, Cambridge University Press, vol. 14(03), pages 326-338, June.
- Yongcheol Shin & Ron P Smith & Mohammad Hashem Pesaran, 1998. "Pooled Mean Group Estimation of Dynamic Heterogeneous Panels," ESE Discussion Papers 16, Edinburgh School of Economics, University of Edinburgh.
- Kiviet, Jan F. & Phillips, Garry D. A., 1994. "Bias assessment and reduction in linear error-correction models," Journal of Econometrics, Elsevier, vol. 63(1), pages 215-243, July.
- Peter C.B.Phillips & Donggyu Sul, 2002. "Dynamic Panel Estimation and Homogeneity Testing Under Cross Section Dependence," Cowles Foundation Discussion Papers 1362, Cowles Foundation for Research in Economics, Yale University.
- Phillips, Peter & Sul, Donggyu, 2002. "Dynamic Panel Estimation and Homogenity Testing Under Cross Section Dependence," Working Papers 194, Department of Economics, The University of Auckland.