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

DOI10.1016/S0304-4076(01)00098-7zbMATH Open1020.62079OpenAlexW1978775682MaRDI QIDQ1867709FDOQ1867709

Authors: 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

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zbMATH Keywords

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

Mathematics Subject Classification ID

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

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Cited In (only showing first 100 items - show all)

• Examining the impact on mortality arising from climate change: important findings for the insurance industry
• The environmental Kuznets curve: functional form, time‐varying heterogeneity and outliers in a panel setting
• Uncertainty, flexible exchange rates, and agglomeration
• The endogeneity of exchange rate pass-through: some European evidence
• A Panel Unit Root Test with Good Power in Small Samples
• Testing for panel unit roots under general cross-sectional dependence
• Modelling the US, UK and Japanese unemployment rates: fractional integration and structural breaks
• Testing seasonal mean-reversion in the real exchange rates: an application of nonlinear IV estimator
• Computing stock price comovements with a three-regime panel smooth transition error correction model
• On modeling panels of time series
• Persistence heterogeneity testing in panels with interactive fixed effects
• Panel data analysis -- advantages and challenges (with comments and rejoinder)
• Heteroskedasticity-robust unit root testing for trending panels
• A note on the pooling of individual panic unit root tests
• Robust tests for unit roots in heterogeneous panels
• Heteroskedasticity robust panel unit root testing under variance breaks in pooled regressions
• A threshold model for the spread
• Performance of unit root tests in unbalanced panels: experimental evidence
• Nonstationary-volatility robust panel unit root tests and the great moderation
• Stationary bootstrapping for semiparametric panel unit root tests
• Unit root testing with slowly varying trends
• Integration, productivity and technological spillovers: evidence for eurozone banking industries
• Bootstrap sequential tests to determine the order of integration of individual units in a time series panel
• Currency misalignments in the BRIICS countries: fixed vs. floating exchange rates
• The effects of climate risks on economic activity in a panel of US states: the role of uncertainty
• An intersection test for panel unit roots
• Reflections on ``Testing for unit roots in heterogeneous panels
• Panel data unit roots tests: the role of serial correlation and the time dimension
• Testing for stationarity in large panels with cross-dependence, and US evidence on unit labor cost
• Exchange rate regimes and business cycles: an empirical investigation
• A non-parametric decomposition of the environmental performance-income relationship: evidence from a non-linear model
• Learning and dropout in contests: an experimental approach
• Bayesian analysis of panel data using an MTAR model
• Do Islamic and conventional banks really differ? A panel data statistical analysis
• Detection of outliers in panel data of intervention effects model based on variance of remainder disturbance
• A panel data analysis of uncovered interest parity and time-varying risk premium
• On the asymptotic \(t\)-test for large nonstationary panel models
• Trends in distributional characteristics: existence of global warming
• The factor analytical approach in near unit root interactive effects 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
• Causal relationships between economic policy uncertainty and housing market returns in China and India: evidence from linear and nonlinear panel and time series models
• CLT for largest eigenvalues and unit root testing for high-dimensional nonstationary time series
• Are US real house prices stationary? New evidence from univariate and panel data
• Panel seasonal unit root test: further simulation results and an application to unemployment data
• Asymptotically UMP panel unit root tests -- the effect of heterogeneity in the alternatives
• Finite-sample distribution of a recursively mean-adjusted panel data unit root test
• On the power and interpretation of panel unit root tests
• A powerful wild bootstrap diagnosis of panel unit roots under linear trends and time-varying volatility
• How does the sensitivity of consumption to income vary over time? International evidence
• Economic fluctuations and fiscal policy in Europe: a political business cycles approach using panel data and clustering (1996--2013)
• Unit root test for short panels with serially correlated errors
• Unit root tests for cross-sectionally dependent panels: the influence of observed factors
• Quantile unit root inference for panel data with common shocks
• Local/import -- and foreign currency prices: inflation, uncertainty and pass through endogeneity
• A wavelet-based variance ratio unit root test for a system of equations
• The accuracy of normal approximation in a heterogeneous panel data unit root test
• PPP in OECD countries: an analysis of real exchange rate stationarity, cross-sectional dependency and structural breaks
• ON THE BREITUNG TEST FOR PANEL UNIT ROOTS AND LOCAL ASYMPTOTIC POWER
• A simple test for nonstationarity in mixed panels: a further investigation
• A bootstrap panel unit root test under cross-sectional dependence, with an application to PPP
• Homogenous panel unit root tests under cross sectional dependence: finite sample modifications and the wild bootstrap
• Panel unit root tests under cross‐sectional dependence
• Testing for Unit Roots in Dynamic Panels in the Presence of a Deterministic Trend: Re-examining the Unit Root Hypothesis for Real Stock Prices and Dividends
• A generalized nonlinear IV unit root test for panel data with cross-sectional dependence
• A PANIC attack on unit roots and cointegration.
• Testing for stationarity in heterogeneous panel data where the time dimension is finite
• Panel unit root tests in the presence of cross-sectional dependencies: comparison and implications for modelling
• Panel unit root tests with cross-section dependence: a further investigation
• Fractional integration and the volatility of UK interest rates
• Asymptotic normal tests for integration in panels with cross-dependent units
• Testing for unit roots in heterogeneous panels.
• Testing for a unit root in a random coefficient panel data model
• Model specification in panel data unit root tests with an unknown break
• Panel unit root testing with nonlinear instruments for infinite-order autoregressive processes
• The error-in-rejection probability of meta-analytic panel tests
• The effects of cross-section dimension \(n\) in panel co-integration test
• Testing economic convergence in non-stationary panel
• Testing for a unit root in panels with dynamic factors
• Mean group tests for stationarity in heterogeneous panels
• Maximum likelihood estimation and inference methods for the covariance stationary panel AR(1)/unit root model
• Lessons from a decade of IPS and LLC
• Unit root inference in panel data models where the time-series dimension is fixed: a comparison of different tests
• Nonstationary panel data analysis: an overview of some recent developments
• Exploiting cross-section variation for unit root inference in dynamic data
• Cointegration in a historical perspective
• A fixed-\(T\) version of Breitung's panel data unit root test
• Panel data unit root test with structural break: a Bayesian approach
• The effect of recursive detrending on panel unit root tests
• New tools for understanding the local asymptotic power of panel unit root tests
• Unit root tests for panel MTAR model with cross-sectionally dependent error
• Panel unit root tests in the presence of cross-sectional dependence: finite sample performance and an application
• The predictive power of the business and bank sentiment of firms: a high-dimensional Granger causality approach
• TESTING FOR UNIT ROOTS IN PANELS WITH A FACTOR STRUCTURE
• Nonparametric rank tests for non-stationary panels
• International R\&D spillovers revisited
• A Bayesian method of distinguishing unit root from stationary processes based on panel data models with cross-sectional dependence
• Inflation dynamics of franc-zone countries determinants, co-movements and spatial interactions
• Using panel data to increase the power of modified unit root tests in the presence of structural breaks
• Cross-sectional dependence robust block bootstrap panel unit root tests
• Testing for unit roots in panel data: an exploration using real and simulated data

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