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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
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    File URL: https://irihs.ihs.ac.at/id/eprint/2062
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    References listed on IDEAS

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    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. Peter Pedroni, 2018. "Panel Cointegration Techniques and Open Challenges," Department of Economics Working Papers 2018-09, Department of Economics, Williams College.
    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.

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    More about this item

    Keywords

    Nonparametric rank tests; unit roots; cointegration; cross-sectional dependence;
    All these 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

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