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

DOI10.1016/S0304-4076(01)00098-7MaRDI QIDQ1867709zbMATH OpenOpenAlexFDO

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

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)

• ESTIMATION AND INFERENCE IN SHORT PANEL VECTOR AUTOREGRESSIONS WITH UNIT ROOTS AND COINTEGRATION
• A simple test for nonstationarity in mixed panels: a further investigation
• Likelihood ratio tests for a unit root in panels with random effects
• Examining the impact on mortality arising from climate change: important findings for the insurance industry
• A bootstrap panel unit root test under cross-sectional dependence, with an application to PPP
• ON THE BREITUNG TEST FOR PANEL UNIT ROOTS AND LOCAL ASYMPTOTIC POWER
• Homogenous panel unit root tests under cross sectional dependence: finite sample modifications and the wild bootstrap
• Insurance and real output: the key role of banking activities
• Uncertainty, flexible exchange rates, and agglomeration
• The environmental Kuznets curve: functional form, time‐varying heterogeneity and outliers in a panel setting
• A generalized nonlinear IV unit root test for panel data with cross-sectional dependence
• Panel unit root tests under cross‐sectional dependence
• The endogeneity of exchange rate pass-through: some European evidence
• 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
• Modelling the US, UK and Japanese unemployment rates: fractional integration and structural breaks
• Testing for panel unit roots under general cross-sectional dependence
• A Panel Unit Root Test with Good Power in Small Samples
• 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
• Fractional integration and the volatility of UK interest rates
• On modeling panels of time series
• A PANIC attack on unit roots and cointegration.
• 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
• Testing for unit roots in heterogeneous panels.
• Testing for a unit root in a random coefficient panel data model
• Asymptotic normal tests for integration in panels with cross-dependent units
• Testing for stationarity in heterogeneous panel data where the time dimension is finite
• Model specification in panel data unit root tests with an unknown break
• Persistence heterogeneity testing in panels with interactive fixed effects
• Panel data analysis -- advantages and challenges (with comments and rejoinder)
• Robust tests for unit roots in heterogeneous panels
• Robust panel unit root tests for cross-sectionally dependent multiple time series
• A note on the pooling of individual panic unit root tests
• Heteroskedasticity-robust unit root testing for trending panels
• Analysis of housing prices by GEE and GLMM methodologies: a longitudinal study
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• Forward detrending for heteroskedasticity-robust panel unit root testing
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• Stationary bootstrapping for semiparametric panel unit root tests
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• FDI inflows, economic growth, and governance quality trilogy in developing countries: A panel VAR analysis
• The error-in-rejection probability of meta-analytic panel tests
• A threshold model for the spread
• The effects of cross-section dimension n in panel co-integration test
• Integration, productivity and technological spillovers: evidence for eurozone banking industries
• Unit root testing with slowly varying trends
• Testing economic convergence in non-stationary 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
• Bootstrap sequential tests to determine the order of integration of individual units in a time series panel
• Testing for a unit root in panels with dynamic factors
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• Maximum likelihood estimation and inference methods for the covariance stationary panel AR(1)/unit root model
• An intersection test for panel unit roots
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• Reflections on ``Testing for unit roots in heterogeneous panels
• Predicting housing prices for Spanish regions
• Local power of fixed-\(T\) panel unit root tests with serially correlated errors and incidental trends
• Path integral method for limiting distribution of an estimator arising from an AR(1)-process with a unit root
• 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
• 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 roots tests: the role of serial correlation and the time dimension
• Nonstationary panel data analysis: an overview of some recent developments
• Panel data unit root test with structural break: a Bayesian approach
• 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
• Unit root tests for panel MTAR model with cross-sectionally dependent error
• A non-parametric decomposition of the environmental performance-income relationship: evidence from a non-linear model
• The predictive power of the business and bank sentiment of firms: a high-dimensional Granger causality approach
• The effect of recursive detrending on panel unit root tests
• New tools for understanding the local asymptotic power of panel unit root tests
• Estimation of dynamic panel spatial vector autoregression: stability and spatial multivariate cointegration
• Panel unit root tests in the presence of cross-sectional dependence: finite sample performance and an application
• TESTING FOR UNIT ROOTS IN PANELS WITH A FACTOR STRUCTURE
• Pooled panel unit root tests and the effect of past initialization
• Learning and dropout in contests: an experimental approach
• Bayesian unit root tests in panel data by using MCMC algorithm
• On the Use of GLS Demeaning in Panel Unit Root Testing
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• Nonparametric rank tests for non-stationary panels
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• Do Islamic and conventional banks really differ? A panel data statistical analysis
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• Cross-sectional dependence robust block bootstrap panel unit root tests
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• The growth effect of trade openness on African countries: Evidence from using an instrumental variable panel smooth transition model
• On the asymptotic \(t\)-test for large nonstationary panel models
• On stablecoin price processes and arbitrage
• Trends in distributional characteristics: existence of global warming
• The factor analytical approach in near unit root interactive effects panels

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