IDEAS home Printed from https://ideas.repec.org/p/ihs/ihsesp/270.html

Nonparametric Rank Tests for Non-stationary Panels

Author

Listed:
  • Pedroni, Peter

    (Williams College, Williamstown, USA)

  • Vogelsang, Timothy J.

    (Department of Economics, Michigan State University, East Lansing, USA)

  • Wagner, Martin

    (Department of Economics and Finance, Institute for Advanced Studies, Vienna, Austria, and Frisch Centre for Economic Research, Oslo)

  • Westerlund, Joakim

    (Department of Economics, University of Gothenburg, Sweden)

Abstract

This study develops new rank tests for panels that include panel unit root tests as a special case. The tests are unusual in that they can accommodate very general forms of both serial and cross-sectional dependence, including cross-unit cointegration, without the need to specify the form of dependence or estimate nuisance parameters associated with the dependence. The tests retain high power in small samples, and in contrast to other tests that accommodate cross-sectional dependence, the limiting distributions are valid for panels with finite cross-sectional dimensions.

Suggested Citation

  • Pedroni, Peter & Vogelsang, Timothy J. & Wagner, Martin & Westerlund, Joakim, 2011. "Nonparametric Rank Tests for Non-stationary Panels," Economics Series 270, Institute for Advanced Studies.
    • Handle: RePEc:ihs:ihsesp:270
    as

    Download full text from publisher

    File URL: https://irihs.ihs.ac.at/id/eprint/2062
    File Function: First version, 2011
    Download Restriction: no
    ---><---

    Other versions of this item:

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. is not listed on IDEAS
    2. Shahbaz, Muhammad & Shafiullah, Muhammad & Khalid, Usman & Song, Malin, 2020. "A nonparametric analysis of energy environmental Kuznets Curve in Chinese Provinces," Energy Economics, Elsevier, vol. 89(C).
    3. Onatski, Alexei & Wang, Chen, 2019. "Extreme canonical correlations and high-dimensional cointegration analysis," Journal of Econometrics, Elsevier, vol. 212(1), pages 307-322.
    4. Hodelin, Reynaldo Senra, 2022. "Statistical disclosure and economic growth: What is the nexus?," World Development, Elsevier, vol. 160(C).
    5. Jose E. Gomez-Gonzalez & Santiago Gomez-Malagon & Luis F. Melo-Velandia & Daniel Ordoñez-Callamand, 2020. "A rank approach for studying cross-currency bases and the covered interest rate parity," Empirical Economics, Springer, vol. 59(1), pages 357-369, July.

    More about this item

    Keywords

    ;
    ;
    ;
    ;

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ihs:ihsesp:270. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Doris Szoncsitz (email available below). General contact details of provider: https://edirc.repec.org/data/deihsat.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.