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Testing the Hypothesis of a Unit Root for Independent Panels

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  • Skrobotov, Anton

    () (Russian Presidential Academy of National Economy and Public Administration (RANEPA))

  • Turuntseva, Marina

    () (Russian Presidential Academy of National Economy and Public Administration (RANEPA))

Abstract

Testing of a unit root in the data is of great importance for the empirical analysis. Almost one or macroeconomic study is not without testing whether a particular stationary time series against the trend (trend stationary, TS) or It is stationary in first differences (difference stationary, DS). In the first If the number is stationary relative to the trend, the number of simulated necessary levels. Otherwise, you need to go to the first difference time series if it is modeled by this specific number separately,or proceed to the cointegration analysis of multiple time series, each which is non-stationary. The presence of cointegration allows us to give feasibility study of long-term and short-term dependency adjustments to long-term equilibrium.

Suggested Citation

  • Skrobotov, Anton & Turuntseva, Marina, 2017. "Testing the Hypothesis of a Unit Root for Independent Panels," Working Papers 021707, Russian Presidential Academy of National Economy and Public Administration.
  • Handle: RePEc:rnp:wpaper:021707
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    References listed on IDEAS

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