Unit root tests in panel data: asymptotic and finite-sample properties

DOI10.1016/S0304-4076(01)00098-7zbMath1020.62079OpenAlexW1978775682MaRDI QIDQ1867709

Chien-Fu Lin, Chia-Shang James Chu, Andrew T. Levin

Publication date: 2 April 2003

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0304-4076(01)00098-7

zbMATH Keywords

panel unit root testnonstationary panelADF regressionpooled \(t\)-statistics

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Related Items

The Performance of Panel Unit Root and Stationarity Tests: Results from a Large Scale Simulation Study ⋮ INSURANCE AND REAL OUTPUT: THE KEY ROLE OF BANKING ACTIVITIES ⋮ A threshold model for the spread ⋮ The growth effect of trade openness on African countries: Evidence from using an instrumental variable panel smooth transition model ⋮ FDI inflows, economic growth, and governance quality trilogy in developing countries: A panel VAR analysis ⋮ Forward detrending for heteroskedasticity-robust panel unit root testing ⋮ The environmental Kuznets curve: functional form, time‐varying heterogeneity and outliers in a panel setting ⋮ Confidence intervals of treatment effects in panel data models with interactive fixed effects ⋮ A Monte Carlo study on the size and power of panel unit root tests ⋮ Breaking the panels: An application to the GDP per capita ⋮ Testing for stationarity in heterogeneous panel data where the time dimension is finite ⋮ PATH INTEGRAL METHOD FOR LIMITING DISTRIBUTION OF AN ESTIMATOR ARISING FROM AN AR(1)-PROCESS WITH A UNIT ROOT ⋮ The effect of neglecting the slope parameters’ heterogeneity on dynamic models of corporate capital structure ⋮ Panel unit root tests under cross‐sectional dependence ⋮ A Parametric approach to the Estimation of Cointegration Vectors in Panel Data ⋮ Mean group tests for stationarity in heterogeneous panels ⋮ Pooled Panel Unit Root Tests and the Effect of Past Initialization ⋮ Heteroskedasticity Robust Panel Unit Root Testing Under Variance Breaks in Pooled Regressions ⋮ Likelihood ratio tests for a unit root in panels with random effects ⋮ Performance of unit root tests in unbalanced panels: experimental evidence ⋮ The effects of climate risks on economic activity in a panel of US states: the role of uncertainty ⋮ Panel unit root tests in the presence of cross-sectional dependence: finite sample performance and an application ⋮ Nonstationary-volatility robust panel unit root tests and the great moderation ⋮ Stationary bootstrapping for semiparametric panel unit root tests ⋮ Incidental trends and the power of panel unit root tests ⋮ Currency misalignments in the BRIICS countries: fixed vs. floating exchange rates ⋮ MODELLING BANKS' LENDING BEHAVIOUR IN A CAPITAL-REGULATED FRAMEWORK ⋮ Unit root tests for panel data with AR(1) errors and small T ⋮ Maximum likelihood estimation and inference methods for the covariance stationary panel AR(1)/unit root model ⋮ The predictive power of the business and bank sentiment of firms: a high-dimensional Granger causality approach ⋮ A Panel Unit Root Test with Good Power in Small Samples ⋮ Double unit root tests for cross-sectionally dependent panel data ⋮ Panel data analysis -- advantages and challenges (with comments and rejoinder) ⋮ A non-parametric decomposition of the environmental performance-income relationship: evidence from a non-linear model ⋮ Random autoregressive models: A structured overview ⋮ How does the sensitivity of consumption to income vary over time? International evidence ⋮ Idiosyncratic volatility and the expected stock returns for exploring the relationship with panel threshold regression ⋮ An Intersection Test for Panel Unit Roots ⋮ An Overview of Dependence in Cross-Section, Time-Series, and Panel Data ⋮ Lessons from a Decade of IPS and LLC ⋮ Estimation of dynamic panel spatial vector autoregression: stability and spatial multivariate cointegration ⋮ The factor analytical approach in near unit root interactive effects panels ⋮ Detection of outliers in panel data of intervention effects model based on variance of remainder disturbance ⋮ The long-run determinants of fertility: one century of demographic change 1900--1999 ⋮ On stablecoin price processes and arbitrage ⋮ The endogeneity of exchange rate pass-through: some European evidence ⋮ Economic fluctuations and fiscal policy in Europe: a political business cycles approach using panel data and clustering (1996--2013) ⋮ Exchange rate regimes and business cycles: an empirical investigation ⋮ Do Islamic and conventional banks really differ? A panel data statistical analysis ⋮ Inflation dynamics of franc-zone countries determinants, co-movements and spatial interactions ⋮ Asymptotic local power of pooled t-ratio tests for unit roots in panels with fixed effects ⋮ Testing seasonal mean-reversion in the real exchange rates: an application of nonlinear IV estimator ⋮ A Bayesian method of distinguishing unit root from stationary processes based on panel data models with cross-sectional dependence ⋮ Darling-Erdős limit results for change-point detection in panel data ⋮ A powerful wild bootstrap diagnosis of panel unit roots under linear trends and time-varying volatility ⋮ Are US real house prices stationary? New evidence from univariate and panel data ⋮ Causal relationships between economic policy uncertainty and housing market returns in China and India: evidence from linear and nonlinear panel and time series models ⋮ Local/import -- and foreign currency prices: inflation, uncertainty and pass through endogeneity ⋮ Uncertainty, flexible exchange rates, and agglomeration ⋮ Panel data unit roots tests: the role of serial correlation and the time dimension ⋮ Forecasting the unemployment rate over districts with the use of distinct methods ⋮ A wavelet-based variance ratio unit root test for a system of equations ⋮ Reflections on ``Testing for unit roots in heterogeneous panels ⋮ Disentangling the source of non-stationarity in a panel of seasonal data ⋮ Testing for a unit root in panels with dynamic factors ⋮ Panel unit root tests in the presence of a multifactor error structure ⋮ A Bayesian panel data framework for examining the economic growth convergence hypothesis: do the G7 countries converge? ⋮ Robust panel unit root tests for cross-sectionally dependent multiple time series ⋮ Computing stock price comovements with a three-regime panel smooth transition error correction model ⋮ Panel Unit Root Tests in the Presence of Cross-Sectional Dependencies: Comparison and Implications for Modelling ⋮ The accuracy of normal approximation in a heterogeneous panel data unit root test ⋮ Unit root inference in panel data models where the time‐series dimension is fixed: a comparison of different tests ⋮ Testing economic convergence in non-stationary panel ⋮ Integration, productivity and technological spillovers: evidence for eurozone banking industries ⋮ PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS ⋮ Taking a new contour: a novel approach to panel unit root tests ⋮ A generalized nonlinear IV unit root test for panel data with cross-sectional dependence ⋮ Fractional integration and the volatility of UK interest rates ⋮ PANEL UNIT ROOT TESTS WITH CROSS-SECTION DEPENDENCE: A FURTHER INVESTIGATION ⋮ Asymptotic normal tests for integration in panels with cross-dependent units ⋮ Panel Unit Root Testing with Nonlinear Instruments for Infinite-Order Autoregressive Processes ⋮ Using panel data to increase the power of modified unit root tests in the presence of structural breaks ⋮ Bayesian analysis of panel data using an MTAR model ⋮ GMM ESTIMATION FOR DYNAMIC PANELS WITH FIXED EFFECTS AND STRONG INSTRUMENTS AT UNITY ⋮ Learning and dropout in contests: an experimental approach ⋮ Cross-sectional dependence robust block bootstrap panel unit root tests ⋮ The effects of cross-section dimension \(n\) in panel co-integration test ⋮ Local Power of Fixed-T  Panel Unit Root Tests With Serially Correlated Errors and Incidental Trends ⋮ Trends in distributional characteristics: existence of global warming ⋮ Cointegration in a historical perspective ⋮ A spatio-temporal model of house prices in the USA ⋮ CLT for largest eigenvalues and unit root testing for high-dimensional nonstationary time series ⋮ A class of simple distribution-free rank-based unit root tests ⋮ Testing for a unit root in a random coefficient panel data model ⋮ ESTIMATION AND INFERENCE IN SHORT PANEL VECTOR AUTOREGRESSIONS WITH UNIT ROOTS AND COINTEGRATION ⋮ A panel data analysis of uncovered interest parity and time-varying risk premium ⋮ Testing for Panel Unit Roots under General Cross-sectional Dependence ⋮ TESTING FOR UNIT ROOTS IN PANELS WITH A FACTOR STRUCTURE ⋮ A bootstrap panel unit root test under cross-sectional dependence, with an application to PPP ⋮ Unit root test for short panels with serially correlated errors ⋮ Unnamed Item ⋮ Modelling the US, UK and Japanese unemployment rates: fractional integration and structural breaks ⋮ Homogenous panel unit root tests under cross sectional dependence: finite sample modifications and the wild bootstrap ⋮ PPP in OECD countries: an analysis of real exchange rate stationarity, cross-sectional dependency and structural breaks ⋮ Heteroskedasticity‐Robust Unit Root Testing for Trending Panels ⋮ Examining the impact on mortality arising from climate change: important findings for the insurance industry ⋮ Unit root testing with slowly varying trends ⋮ Unnamed Item ⋮ International R\&D spillovers revisited ⋮ On modeling panels of time series ⋮ ASYMPTOTICALLY UMP PANEL UNIT ROOT TESTS—THE EFFECT OF HETEROGENEITY IN THE ALTERNATIVES ⋮ ON THE BREITUNG TEST FOR PANEL UNIT ROOTS AND LOCAL ASYMPTOTIC POWER ⋮ Nonparametric rank tests for non-stationary panels ⋮ The effect of recursive detrending on panel unit root tests ⋮ Combiningp-Values in Non-Stationary Panels ⋮ A Test of the validity of Crowding-out (or- in) hypothesis: A new examination of link between public borrowing and private investment in Emerging Europe ⋮ New tools for understanding the local asymptotic power of panel unit root tests ⋮ PETER C.B. PHILLIPS’S CONTRIBUTIONS TO PANEL DATA METHODS

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Estimating Vector Autoregressions with Panel Data
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Formulation and estimation of dynamic models using panel data
• Exploiting cross-section variation for unit root inference in dynamic data
• Testing for unit roots in heterogeneous panels.
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Testing for unit roots in autoregressive-moving average models of unknown order
• Testing for a unit root in time series regression
• Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
• Linear Regression Limit Theory for Nonstationary Panel Data
• Time Series Regression with a Unit Root
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models