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Une Synthèse des Tests de Racine Unitaire en sur Données de Panel

Author

Listed:
  • Christophe Hurlin

    () (LEO - Laboratoire d'économie d'Orleans - UO - Université d'Orléans - CNRS - Centre National de la Recherche Scientifique)

  • V. Mignon

Abstract

[eng] Our article presents an overview of panel unit-root tests. There are two major trends in this research area. First, since the late 1990s, the work on panel unit-root tests aims to take account of heterogeneity in dynamic properties of series. Second, attempts have recently been made to introduce a dichotomy between two generations of tests. The first generation is based on the hypothesis of independence between units. In contrast, the second-generation tests are characterized by the rejection of the cross-sectional independence hypothesis. Our survey discusses both generations of tests. [fre] Cet article propose une synthèse de la littérature des tests de racine unitaire en panel. Deux principales évolutions peuvent être mises en évidence. D’une part, on a pu assister depuis la fin des années quatre-vingt-dix à une évolution tendant à prendre en compte une hétérogénéité des propriétés dynamiques des séries étudiées. D’autre part, un second type de développements récents tend à introduire une dichotomie entre deux générations de tests : la première génération repose sur une hypothèse d’indépendance entre les individus. La seconde génération intègre quant à elle diverses formes possibles de dépendances inter-individuelles. Ces deux générations de tests sont présentées dans cette revue de la littérature.
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Suggested Citation

  • Christophe Hurlin & V. Mignon, 2005. "Une Synthèse des Tests de Racine Unitaire en sur Données de Panel," Post-Print halshs-00257324, HAL.
  • Handle: RePEc:hal:journl:halshs-00257324
    Note: View the original document on HAL open archive server: https://halshs.archives-ouvertes.fr/halshs-00257324
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