The Performance of Panel Unit Root and Stationarity Tests: Results from a Large Scale Simulation Study

DOI10.1080/07474930500545504zbMath1225.62118MaRDI QIDQ5291758

Martin Wagner, Jaroslava Hlouskova

Publication date: 22 May 2006

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://boris.unibe.ch/145655/

zbMATH Keywords

power; size; simulation study; panel unit root test; panel stationarity test

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62M07: Non-Markovian processes: hypothesis testing

Related Items

Testing for stationarity in large panels with cross-dependence, and US evidence on unit labor cost, A Bayesian panel data framework for examining the economic growth convergence hypothesis: do the G7 countries converge?, Likelihood ratio tests for a unit root in panels with random effects, Cross-sectional dependence robust block bootstrap panel unit root tests, A Bayesian method of distinguishing unit root from stationary processes based on panel data models with cross-sectional dependence, Testing for unit roots in short panels allowing for a structural break, The error-in-rejection probability of meta-analytic panel tests, Nonparametric rank tests for non-stationary panels, The factor analytical approach in near unit root interactive effects panels, Unit root tests for panel data with AR(1) errors and small T, Cross-sectional correlation robust tests for panel cointegration, The Performance of Panel Cointegration Methods: Results from a Large Scale Simulation Study, Testing for stationarity in heterogeneous panel data in the presence of cross-section dependence

Cites Work

• Unnamed Item
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• The balance between size and power in Dickey-Fuller tests with data-dependent rules for the choice of truncation lag
• Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
• Spurious regression and residual-based tests for cointegration in panel data
• Empirically relevant critical values for hypothesis tests: A bootstrap approach
• Testing for unit roots in heterogeneous panels.
• Time series analysis and simultaneous equation econometric models
• Nonlinear IV unit root tests in panels with cross-sectional dependency.
• Unit root tests in panel data: asymptotic and finite-sample properties
• On the power and interpretation of panel unit root tests
• Testing for a unit root in panels with dynamic factors
• Testing for stationarity in heterogeneous panel data
• Automatic Lag Selection in Covariance Matrix Estimation
• Linear Regression Limit Theory for Nonstationary Panel Data
• ON THE ASYMPTOTICS OF ADF TESTS FOR UNIT ROOTS
• Panel unit root tests under cross‐sectional dependence
• Testing for stationarity in heterogeneous panel data where the time dimension is finite
• A new semiparametric spatial model for panel time series