The DOI matches its Crossref record; 2 of the 2 references it cites were found in a registry or an index.
Testing for stationarity in heterogeneous panel data
Abstract
This paper proposes a residual‐based Lagrange multiplier (LM) test for a null that the individual observed series are stationary around a deterministic level or around a deterministic trend against the alternative of a unit root in panel data. The tests which are asymptotically similar under the null, belong to the locally best invariant (LBI) test statistics. The asymptotic distributions of the statistics are derived under the null and are shown to be normally distributed. Finite sample sizes and powers are considered in a Monte Carlo experiment. The empirical sizes of the tests are close to the true size even in small samples. The testing procedure is easy to apply, including, to panel data models with fixed effects, individual deterministic trends and heterogeneous errors across cross‐sections. It is also shown how to apply the tests to the more general case of serially correlated disturbance terms.
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Citations
Cites
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
Asymptotic Theory of Certain "Goodness of Fit" Criteria Based on Stochastic Processes
Anderson, T. W., & Darling, D. A. (1952) · The Annals of Mathematical Statistics · doi:10.1214/aoms/1177729437 · Cited by 3,542
Cited by
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
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
The relationship between GDP and electricity consumption in 10 Asian countries
Chen, S.-T., Kuo, H.-I., & Chen, C.-C. (2007) · Energy Policy · doi:10.1016/j.enpol.2006.10.001 · Cited by 589
Hakim, M. M., & Merkert, R. (2016) · Journal of Transport Geography · doi:10.1016/j.jtrangeo.2016.09.006 · Cited by 217
Sule, I. K., Yusuf, A. M., & Salihu, M.-K. (2022) · Energy Nexus · doi:10.1016/j.nexus.2021.100034 · Cited by 83
Metadata
- Authors
- Hadri, K.
- Venue
- The Econometrics Journal
- Publisher
- Oxford University Press (OUP)
- Published
- 2000-12-01
- Volume
- 3
- Issue
- 2
- Pages
- 148-161
- ISSN
- 1368-4221 (ISSN-L)
- 1368-423X
- OpenAlex
- W2005013362
- Cited by
- 2,981
- References
- 2
- FWCI
- 24.62
- Type
- journal article
- Language
- en
- Open access
- closed
- Licence
- doi.wiley.com/10.1002/tdm_license_1.1 (tdm, 5387 d)
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- Hadri, K. (2000). Testing for stationarity in heterogeneous panel data. The Econometrics Journal. https://doi.org/10.1111/1368-423x.00043
Data sources
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.
