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Determining the Stationarity Properties of Individual Series in Panel Datasets

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    An attractive feature of panel unit root tests is the ability to exploit coefficient homogeneity under the null hypothesis of a unit root for all series in order to obtain a more powerful test of the unit root hypothesis. However, under the alternative hypothesis of heterogeneous panel unit root tests of at least one series being stationary, the researcher is left with little idea of how to proceed. In other words if we reject the unit root hypothesis we do not know which series caused the rejection. We propose a method that enables the distinction of a set of series into a group of stationary and a group of nonstationary series. We discuss its theoretical properties and investigate its small sample performance in a Monte Carlo study.

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    File URL: http://www.econ.qmul.ac.uk/papers/doc/wp495.pdf
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    Paper provided by Queen Mary University of London, School of Economics and Finance in its series Working Papers with number 495.

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    Date of creation: Jul 2003
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    Handle: RePEc:qmw:qmwecw:wp495
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    1. James G. MacKinnon & Anthony A. Smith Jr., 1995. "Approximate Bias Correction in Econometrics," Working Papers 919, Queen's University, Department of Economics.
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