The DOI matches its Crossref record; 34 of the 34 references it cites were found in a registry or an index.
The Performance of Panel Unit Root and Stationarity Tests: Results from a Large Scale Simulation Study
Abstract
This paper presents results on the size and power of first generation panel unit root and stationarity tests obtained from a large scale simulation study. The tests developed in the following papers are included: Levin et al. (Citation2002), Harris and Tzavalis (Citation1999), Breitung (Citation2000), Im et al. (Citation1997 Citation2003), Maddala and Wu (Citation1999), Hadri (Citation2000), and Hadri and Larsson (Citation2005). Our simulation set-up is designed to address inter alia the following issues. First, we assess the performance as a function of the time and the cross-section dimensions. Second, we analyze the impact of serial correlation introduced by positive MA roots, known to have detrimental impact on time series unit root tests, on the performance. Third, we investigate the power of the panel unit root tests (and the size of the stationarity tests) for a variety of first order autoregressive coefficients. Fourth, we consider both of the two usual specifications of deterministic variables in the unit root literature.
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Citations
Cites
Testing for unit roots in heterogeneous panels
Im, K. S., Pesaran, M. H., & Shin, Y. (2003) · Journal of Econometrics · doi:10.1016/s0304-4076(03)00092-7 · Cited by 15,435
Unit root tests in panel data: asymptotic and finite-sample properties
Levin, A., Lin, C.-F., & James Chu, C.-S. (2002) · Journal of Econometrics · doi:10.1016/s0304-4076(01)00098-7 · Cited by 12,849
A simple panel unit root test in the presence of cross‐section dependence
Pesaran, M. H. (2007) · Journal of Applied Econometrics · doi:10.1002/jae.951 · Cited by 12,787
Testing the null hypothesis of stationarity against the alternative of a unit root
Kwiatkowski, D., Phillips, P. C. B., Schmidt, P., & Shin, Y. (1992) · Journal of Econometrics · doi:10.1016/0304-4076(92)90104-y · Cited by 12,633
Statistical Methods for Research Workers
(1945) · American Journal of Clinical Pathology · doi:10.1093/ajcp/15.11.552b · Cited by 10,880
A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test
Maddala, G. S., & Wu, S. (1999) · Oxford Bulletin of Economics and Statistics · doi:10.1111/1468-0084.0610s1631 · Cited by 7,460
Spurious regression and residual-based tests for cointegration in panel data
Kao, C. (1999) · Journal of Econometrics · doi:10.1016/s0304-4076(98)00023-2 · Cited by 5,763
Unit root tests for panel data
Choi, I. (2001) · Journal of International Money and Finance · doi:10.1016/s0261-5606(00)00048-6 · Cited by 4,113
Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
Andrews, D. W. K. (1991) · Econometrica · doi:10.2307/2938229 · Cited by 4,030
Automatic Lag Selection in Covariance Matrix Estimation
Newey, W. K., & West, K. D. (1994) · The Review of Economic Studies · doi:10.2307/2297912 · Cited by 3,235
Cited by
Narayan, P. K., & Smyth, R. (2009) · Energy Policy · doi:10.1016/j.enpol.2008.08.020 · Cited by 438
Colicev, A., Malshe, A., Pauwels, K., & O'Connor, P. (2018) · Journal of Marketing · doi:10.1509/jm.16.0055 · Cited by 370
Environmental degradation: The role of electricity consumption, economic growth and globalisation
Rahman, M. M. (2020) · Journal of Environmental Management · doi:10.1016/j.jenvman.2019.109742 · Cited by 346
A note on the use of the LLC panel unit root test
Westerlund, J. (2009) · Empirical Economics · doi:10.1007/s00181-008-0244-8 · Cited by 29
Metadata
- Authors
- Hlouskova, J., & Wagner, M.
- Venue
- Econometric Reviews
- Publisher
- Informa UK Limited
- Published
- 2006-06
- Volume
- 25
- Issue
- 1
- Pages
- 85-116
- ISSN
- 0747-4938 (ISSN-L)
- 1532-4168
- OpenAlex
- W1983814807
- Cited by
- 290
- References
- 34
- FWCI
- 31.67
- Type
- journal article
- Language
- en
- Open access
- closed
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Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
