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Une Synthèse des Tests de Racine Unitaire sur Données de Panel

  • Christophe Hurlin

    ()

    (LEO - Laboratoire d'économie d'Orleans - CNRS : UMR6221 - Université d'Orléans)

  • Valérie Mignon

    (CEPII - Centre d'études prospectives et d'informations internationales - Université de Paris X - Nanterre)

Cet article propose une synthèse de la littérature concernant les tests de racine unitaire en panel. Deux principales évolutions peuvent être mises en évidence dans cette voie de recherche depuis les travaux fondateurs de Levin et Lin (1992). D'une part, on a pu assister depuis la fin des années 90 à une évolution tendant à prendre en compte une hétérogénéité des propriétés dynamiques des séries étudiées, avec notamment les travaux d'Im, Pesaran et Shin (1997) et de Maddala et Wu (1999). D'autre part, un second type de développements récents dans cette littérature tend à introduire une dichotomie entre deux générations de tests : la première génération repose sur une hypothèse d'indépendance entre les individus, ce qui apparaît peu plausible notamment dans le cas de certaines applications macro-économiques. La seconde génération, actuellement en plein développement, intègre diverses formes possibles de dépendances inter-individuelles (Bai et Ng (2001), Phillips et Sul (2003a), Moon et Perron (2004), Choi (2002), Pesaran (2003) et Chang (2002)). Ces deux générations de tests sont présentées dans cette revue de la littérature.

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Date of creation: Jun 2006
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Publication status: Published, Economie et Prévision, 2006, 169, pp. 253-294
Handle: RePEc:hal:journl:halshs-00078770
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  4. Hyungsik Roger Moon & Benoit Perron & Peter C.B. Phillips, 2003. "Incidental Trends and the Power of Panel Unit Root Tests," Cowles Foundation Discussion Papers 1435, Cowles Foundation for Research in Economics, Yale University.
  5. Strauss, Jack & Yigit, Taner, 2003. "Shortfalls of panel unit root testing," Economics Letters, Elsevier, vol. 81(3), pages 309-313, December.
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  13. Pasaran, M.H. & Im, K.S. & Shin, Y., 1995. "Testing for Unit Roots in Heterogeneous Panels," Cambridge Working Papers in Economics 9526, Faculty of Economics, University of Cambridge.
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  19. Nguyen, Anh & Hénin, Pierre-Yves & Jolivaldt, Philippe, 2001. "Testing for unit roots on heterogeneous panels: A sequential approach," CEPREMAP Working Papers (Couverture Orange) 0108, CEPREMAP.
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