The DOI matches its Crossref record; 2 of the 2 references it cites were found in a registry or an index.
A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test
Open accessAbstract
The panel data unit root test suggested by Levin and Lin (LL) has been widely used in several applications, notably in papers on tests of the purchasing power parity hypothesis. This test is based on a very restrictive hypothesis which is rarely ever of interest in practice. The Im–Pesaran–Shin (IPS) test relaxes the restrictive assumption of the LL test. This paper argues that although the IPS test has been offered as a generalization of the LL test, it is best viewed as a test for summarizing the evidence from a number of independent tests of the sample hypothesis. This problem has a long statistical history going back to R. A. Fisher. This paper suggests the Fisher test as a panel data unit root test, compares it with the LL and IPS tests, and the Bonferroni bounds test which is valid for correlated tests. Overall, the evidence points to the Fisher test with bootstrap‐based critical values as the preferred choice. We also suggest the use of the Fisher test for testing stationarity as the null and also in testing for cointegration in panel data.
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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
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
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
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
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
Purchasing Power Parity Tests in Cointegrated Panels
Pedroni, P. (2001) · Review of Economics and Statistics · doi:10.1162/003465301753237803 · Cited by 2,106
Metadata
- Authors
- Maddala, G. S., & Wu, S.
- Venue
- Oxford Bulletin of Economics and Statistics
- Publisher
- Wiley
- Published
- 1999-11
- Volume
- 61
- Issue
- S1
- Pages
- 631-652
- ISSN
- 0305-9049 (ISSN-L)
- 1468-0084
- OpenAlex
- W1969230115
- Cited by
- 7,460
- References
- 2
- FWCI
- 70.13
- Type
- journal article
- Language
- en
- Open access
- bronze
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