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Testing for a Unit Root in a Random Coefficient Panel Data Model

Listed author(s):
  • Westerlund, Joakim

    ()

    (Department of Economics, School of Business, Economics and Law, Göteborg University)

  • Larsson, Rolf

    (Uppsala University)

This paper proposes a new unit root test in the context of a random autoregressive coefficient panel data model, in which the null of a unit root corresponds to the joint restriction that the autoregressive coefficient has unit mean and zero variance. The asymptotic distribution of the test statistic is derived and simulation results are provided to suggest that it performs very well in small samples.

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File URL: http://hdl.handle.net/2077/21170
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Paper provided by University of Gothenburg, Department of Economics in its series Working Papers in Economics with number 383.

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Length: 52 pages
Date of creation: 01 Oct 2009
Handle: RePEc:hhs:gunwpe:0383
Contact details of provider: Postal:
Department of Economics, School of Business, Economics and Law, University of Gothenburg, Box 640, SE 405 30 GÖTEBORG, Sweden

Phone: 031-773 10 00
Web page: http://www.handels.gu.se/econ/

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  1. repec:cdl:ucsbec:6-99 is not listed on IDEAS
  2. Jushan Bai & Serena Ng, 2000. "Determining the Number of Factors in Approximate Factor Models," Boston College Working Papers in Economics 440, Boston College Department of Economics.
  3. 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.
  4. Moon, Hyungsik R & Phillips, Peter C B, 1999. " Maximum Likelihood Estimation in Panels with Incidental Trends," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 61(0), pages 711-747, Special I.
  5. 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.
  6. Pesaran, M.H., 2003. "A Simple Panel Unit Root Test in the Presence of Cross Section Dependence," Cambridge Working Papers in Economics 0346, Faculty of Economics, University of Cambridge.
  7. Ng, Serena, 2008. "A Simple Test for Nonstationarity in Mixed Panels," Journal of Business & Economic Statistics, American Statistical Association, vol. 26, pages 113-127, January.
  8. Jushan Bai & Serena Ng, 2001. "A PANIC Attack on Unit Roots and Cointegration," Boston College Working Papers in Economics 519, Boston College Department of Economics.
  9. Ayat, Leila & Burridge, Peter, 2000. "Unit root tests in the presence of uncertainty about the non-stochastic trend," Journal of Econometrics, Elsevier, vol. 95(1), pages 71-96, March.
  10. Amsler, Christine & Lee, Junsoo, 1995. "An LM Test for a Unit Root in the Presence of a Structural Change," Econometric Theory, Cambridge University Press, vol. 11(02), pages 359-368, February.
  11. Abadir,Karim M. & Magnus,Jan R., 2005. "Matrix Algebra," Cambridge Books, Cambridge University Press, number 9780521537469, December.
  12. Harris, David & Harvey, David I. & Leybourne, Stephen J. & Sakkas, Nikolaos D., 2010. "Local Asymptotic Power Of The Im-Pesaran-Shin Panel Unit Root Test And The Impact Of Initial Observations," Econometric Theory, Cambridge University Press, vol. 26(01), pages 311-324, February.
  13. 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.
  14. Hyungsik Roger Moon & Benoit Perron, 2008. "Asymptotic local power of pooled t-ratio tests for unit roots in panels with fixed effects," Econometrics Journal, Royal Economic Society, vol. 11(1), pages 80-104, 03.
  15. Jushan Bai, 2003. "Inferential Theory for Factor Models of Large Dimensions," Econometrica, Econometric Society, vol. 71(1), pages 135-171, January.
  16. Distaso, Walter, 2008. "Testing for unit root processes in random coefficient autoregressive models," Journal of Econometrics, Elsevier, vol. 142(1), pages 581-609, January.
  17. K Abadir & W Distaso, "undated". "Testing joint hypotheses when one of the alternatives is one-sided," Discussion Papers 05/13, Department of Economics, University of York.
  18. Peter C.B. Phillips & Hyungsik R. Moon, 1999. "Linear Regression Limit Theory for Nonstationary Panel Data," Cowles Foundation Discussion Papers 1222, Cowles Foundation for Research in Economics, Yale University.
  19. Leybourne, S J & McCabe, B P M & Tremayne, A R, 1996. "Can Economic Time Series Be Differenced to Stationarity?," Journal of Business & Economic Statistics, American Statistical Association, vol. 14(4), pages 435-446, October.
  20. McCabe,B.P.M. & Tremayne,A.R., 1995. "Testing a Time-Series for Difference Stationarity," Cambridge Working Papers in Economics 9420, Faculty of Economics, University of Cambridge.
  21. 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.
  22. Moon, H.R. & Perron, B. & Phillips, P.C.B., 2006. "On The Breitung Test For Panel Unit Roots And Local Asymptotic Power," Econometric Theory, Cambridge University Press, vol. 22(06), pages 1179-1190, December.
  23. Shiqing Ling, 2004. "Estimation and testing stationarity for double-autoregressive models," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 66(1), pages 63-78.
  24. Bai, Jushan & Ng, Serena, 2010. "Panel Unit Root Tests With Cross-Section Dependence: A Further Investigation," Econometric Theory, Cambridge University Press, vol. 26(04), pages 1088-1114, August.
  25. repec:cup:cbooks:9780521822893 is not listed on IDEAS
  26. Pere, Pekka, 2003. "Ar(1) Models, Unit Roots, And Adjusted Profile Likelihood," Econometric Theory, Cambridge University Press, vol. 19(06), pages 885-922, December.
  27. 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.
  28. Schmidt, Peter & Phillips, C B Peter, 1992. "LM Tests for a Unit Root in the Presence of Deterministic Trends," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 54(3), pages 257-287, August.
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