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Are panel unit root tests useful for real-time data?

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  • Hecq, A.W.

    (Quantitative Economics)

  • Urbain, J.R.Y.J.

    (Quantitative Economics)

  • Gengenbach, C.

    (Quantitative Economics)

Abstract

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  • Hecq, A.W. & Urbain, J.R.Y.J. & Gengenbach, C., 2011. "Are panel unit root tests useful for real-time data?," Research Memorandum 012, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
    • Handle: RePEc:unm:umamet:2011012
    DOI: 10.26481/umamet.2011012
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    References listed on IDEAS

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    1. Jushan Bai & Serena Ng, 2002. "Determining the Number of Factors in Approximate Factor Models," Econometrica, Econometric Society, vol. 70(1), pages 191-221, January.
    2. Anindya Banerjee & Massimiliano Marcellino & Chiara Osbat, 2004. "Some cautions on the use of panel methods for integrated series of macroeconomic data," Econometrics Journal, Royal Economic Society, vol. 7(2), pages 322-340, December.
    3. Christian Gengenbach & Franz C. Palm & Jean-Pierre Urbain, 2010. "Panel Unit Root Tests in the Presence of Cross-Sectional Dependencies: Comparison and Implications for Modelling," Econometric Reviews, Taylor & Francis Journals, vol. 29(2), pages 111-145, April.
    4. Patterson, Kerry, 2002. "The Data Measurement Process for UK GNP: Stochastic Trends, Long Memory, and Unit Roots," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 21(4), pages 245-264, July.
    5. Jushan Bai & Serena Ng, 2004. "A PANIC Attack on Unit Roots and Cointegration," Econometrica, Econometric Society, vol. 72(4), pages 1127-1177, July.
    6. Im, Kyung So & Pesaran, M. Hashem & Shin, Yongcheol, 2003. "Testing for unit roots in heterogeneous panels," Journal of Econometrics, Elsevier, vol. 115(1), pages 53-74, July.
    7. Patterson, K. D., 2000. "Which vintage of data to use when there are multiple vintages of data?: Cointegration, weak exogeneity and common factors," Economics Letters, Elsevier, vol. 69(2), pages 115-121, November.
    8. 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.
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    Cited by:

    1. Kim, Hyeongwoo & Kim, Jintae, 2018. "London calling: Nonlinear mean reversion across national stock markets," The North American Journal of Economics and Finance, Elsevier, vol. 44(C), pages 265-277.

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