On the power and interpretation of panel unit root tests
We demonstrate that panel unit root tests can have high power when a small fraction of the series are stationary and may lack power when a large fraction is stationary. The acceptance or rejection of the null is thus not sufficient evidence to conclude that all series have a unit root or that all are stationary.
|Date of creation:||04 Feb 1999|
|Date of revision:|
|Publication status:||Published in Economics Letters, 2000, pages 249-255.|
|Contact details of provider:|| Postal: The Economic Research Institute, Stockholm School of Economics, P.O. Box 6501, 113 83 Stockholm, Sweden|
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