Testing for unit roots in heterogeneous panels

Im, Kyung So; Pesaran, M.Hashem; Shin, Yongcheol

doi:10.1016/s0304-4076(03)00092-7

Cited by 15,435Spatial and Panel Data AnalysisMonetary Policy and Economic ImpactDiverse Scientific and Economic Studies

Testing for unit roots in heterogeneous panels

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Im, Kyung So, Pesaran, M.Hashem, Shin, Yongcheol·2003·Journal of Econometrics

DOI 10.1016/s0304-4076(03)00092-7

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GDP, FD, and INV are stationary at first difference, while OIL and INF are stationary at level.
“The result of unit root shows that GDP, FD and INV are stationary at first difference, however, OIL and INF are stationary at level, so the result of the unit root test gives the level of confidence for the application of panel ARDL for estimation [51,52,53,54].”
From Dynamics of economic growth in ASEAN-5 countries: a panel ARDL approach (2024) · cites this paper as [53]

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“Panel unit-root tests by Levin et al. (2002), Breitung (2000), Im et al. (2003), Maddala and Wu (1999), Choi (2001), and Hadri (2000) were used to test whether the variables included in Equations (1)–(3) contain panel unit-roots before carrying out panel cointegration tests.”
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Authors: Im, K. S., Pesaran, M. H., & Shin, Y.
Affiliations: University of Central Florida (US)
University of Cambridge (GB)
University of Edinburgh (GB)
Corresponding author: Im, Kyung So
ORCID: Pesaran, M.Hashem
Shin, Yongcheol
Venue: Journal of Econometrics
Publisher: Elsevier BV
Published: 2003-07
Volume: 115
Issue: 1
Pages: 53-74
ISSN: 0304-4076 (ISSN-L)
DOI: 10.1016/s0304-4076(03)00092-7
OpenAlex: W2117513178
Cited by: 15,435
References: 24
Citations by year: 2026: 885 · 2025: 1006 · 2024: 1027 · 2023: 1166 · 2022: 1225 · 2021: 1124 · 2020: 1056 · 2019: 846 · 2018: 654 · 2017: 642 · 2016: 620 · 2015: 603 · 2014: 631 · 2013: 568 · 2012: 517
FWCI: 518.27
Type: journal article
Language: en
Open access: green
stars.library.ucf.edu
Licence: www.elsevier.com/tdm/userlicense/1.0/ (tdm)
Locations: Journal of Econometrics (publishedVersion)
Journal of International Crisis and Risk Communication Research (submittedVersion)
RePEc: Research Papers in Economics (submittedVersion)
Topics: Social Sciences › Economics, Econometrics and Finance › Economics and Econometrics › Spatial and Panel Data Analysis
Social Sciences › Economics, Econometrics and Finance › General Economics, Econometrics and Finance › Monetary Policy and Economic Impact
Social Sciences › Economics, Econometrics and Finance › Economics and Econometrics › Diverse Scientific and Economic Studies
Keywords: unit root tests, heterogeneous panel data, panel data, Dickey-Fuller test, asymptotic normality, serial correlation, small sample properties

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