Testing for Panel Unit Roots under General Cross-Sectional Dependence
In this paper we generalize four tests of multivariate linear hypothesis to panel data unit root testing. The test statistics are invariant to certain linear transformations of data and therefore simulated critical values may conveniently be used. It is demonstrated that all four tests remains well behaved in cases of where there are heterogeneous alternatives and cross-correlations between marginal variables. A Monte Carlo simulation is included to compare and contrast the tests with two well-established ones.
|Date of creation:||21 Oct 2013|
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- Moon, H.R.Hyungsik Roger & Perron, Benoit, 2004.
"Testing for a unit root in panels with dynamic factors,"
Journal of Econometrics,
Elsevier, vol. 122(1), pages 81-126, September.
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- M. Hashem Pesaran, 2007. "A simple panel unit root test in the presence of cross-section dependence," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(2), pages 265-312.
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- Im, Kyung So & Pesaran, M. Hashem & Shin, Yongcheol, 2003. "Testing for unit roots in heterogeneous panels," Journal of Econometrics, Elsevier, vol. 115(1), pages 53-74, July.
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- Tom Doan, "undated". "IPSHIN: RATS procedure to implement Im, Pesaran and Shin panel unit root test," Statistical Software Components RTS00098, Boston College Department of Economics.
- Maddala, G S & Wu, Shaowen, 1999. " A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 61(0), pages 631-652, Special I.
- Choi, In, 2002. "Instrumental variables estimation of a nearly nonstationary, heterogeneous error component model," Journal of Econometrics, Elsevier, vol. 109(1), pages 1-32, July.
- Peter C. B. Phillips & Donggyu Sul, 2003. "Dynamic panel estimation and homogeneity testing under cross section dependence *," Econometrics Journal, Royal Economic Society, vol. 6(1), pages 217-259, 06.
- 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.
- Tom Doan, "undated". "LEVINLIN: RATS procedure to perform Levin-Lin-Chu test for unit roots in panel data," Statistical Software Components RTS00242, Boston College Department of Economics.
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