On the power and interpretation of panel unit root tests

DOI10.1016/S0165-1765(99)00237-2MaRDI QIDQ1978517zbMATH OpenWikidataFDO

Authors Yanyan Li

Publication date 4 June 2000

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/S0165-1765(99)00237-2

zbMATH Keywords

dynamic panelsheterogeneityMonte Carlo

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

Recommendations

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Cites work

• Exploiting cross-section variation for unit root inference in dynamic data
• New panel unit root tests of PPP
• Panel unit root tests and real exchange rates
• Testing for unit roots in heterogeneous panels.

Cited in

(17)

• Identifying stationary series in panels: a Monte Carlo evaluation of sequential panel selection methods
• Shortfalls of panel unit root testing
• The error-in-rejection probability of meta-analytic panel tests
• A Panel Unit Root Test with Good Power in Small Samples
• Power of a Unit-Root Test and the Initial Condition
• Unit root inference in panel data models where the time-series dimension is fixed: a comparison of different tests
• Lessons from a decade of IPS and LLC
• Local asymptotic power of the Im-Pesaran-Shin panel unit root test and the impact of initial observations
• Asymptotically UMP panel unit root tests -- the effect of heterogeneity in the alternatives
• Combining p-values in non-stationary panels
• Beyond panel unit root tests: using multiple testing to determine the nonstationarity properties of individual series in a panel
• The Performance of Panel Unit Root and Stationarity Tests: Results from a Large Scale Simulation Study
• The effect of neglecting the slope parameters' heterogeneity on dynamic models of corporate capital structure
• Pooled panel unit root tests and the effect of past initialization
• The local power of the CADF and CIPS panel unit root tests
• A Monte Carlo study on the size and power of panel unit root tests
• The power envelope of panel unit root tests in case stationary alternatives offset explosive ones

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