Testing for Panel Unit Roots in the Presence of Spatial Dependency
In this the size and power properties of the common factor Im, Pesaran and Shin (CIPS), Wald (W), likelihood ratio (LR) and Lagrange multiplier (LM) tests are investigated when the error term follows a spatial error model. The results from the Monte Carlo simulations used in this study, firstly show that the CIPS test over-estimates the nominal size. Secondly, the simulated results shows that the empirical size of the W test approaches the nominal size quickly while the LR and LM tests underestimates the null hypothesis in both small and moderate sample sizes. Finally, the results also show that even though the LM and LR test under-reject the true null hypothesis they have higher power than the W test.
|Date of creation:||31 Oct 2012|
|Date of revision:|
|Contact details of provider:|| Postal: |
Phone: +46 (0)8 762 72 80
Fax: +46 (0)8 679 76 06
Web page: http://www.hui.se/
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Choi, In, 2001. "Unit root tests for panel data," Journal of International Money and Finance, Elsevier, vol. 20(2), pages 249-272, April.
- 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.
- 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.
- 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.
- Larsson, Rolf & Lyhagen, Johan & Löthgren, Mickael, 1998.
"Likelihood-Based Cointegration Tests in Heterogeneous Panels,"
SSE/EFI Working Paper Series in Economics and Finance
250, Stockholm School of Economics, revised 27 Aug 1998.
- Rolf Larsson & Johan Lyhagen & Mickael Lothgren, 2001. "Likelihood-based cointegration tests in heterogeneous panels," Econometrics Journal, Royal Economic Society, vol. 4(1), pages 41.
- Jushan Bai & Serena Ng, 2001.
"A Panic Attack on Unit Roots and Cointegration,"
Economics Working Paper Archive
469, The Johns Hopkins University,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 631-52, Special I.
- Kelejian, Harry H & Prucha, Ingmar R, 1999. "A Generalized Moments Estimator for the Autoregressive Parameter in a Spatial Model," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 40(2), pages 509-33, May.
- MOON, Hyungsik Roger & PERRON, Benoit., 2002.
"Testing for a Unit Root in Panels with Dynamic Factors,"
Cahiers de recherche
2002-18, Universite de Montreal, Departement de sciences economiques.
- 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.
- Hyungsik Roger MOON & Benoit PERRON, 2002. "Testing For A Unit Root In Panels With Dynamic Factors," Cahiers de recherche 18-2002, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- 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, . "LEVINLIN: RATS procedure to perform Levin-Lin-Chu test for unit roots in panel data," Statistical Software Components RTS00242, Boston College Department of Economics.
- Chang, Yoosoon, 2002.
"Nonlinear IV unit root tests in panels with cross-sectional dependency,"
Journal of Econometrics,
Elsevier, vol. 110(2), pages 261-292, October.
- Chang, Yoosoon, 2002. "Nonlinear IV Unit Root Tests in Panels with Cross-Sectional Dependency," Working Papers 2000-08, Rice University, Department of Economics.
- Yoosoon Chang, 2000. "Nonlinear IV Unit Root Tests in Panels with Cross-Sectional Dependency," CIRJE F-Series CIRJE-F-85, CIRJE, Faculty of Economics, University of Tokyo.
- 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.
When requesting a correction, please mention this item's handle: RePEc:hhs:huiwps:0071. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Helena Nilsson)
If references are entirely missing, you can add them using this form.