A simple panel unit root test in the presence of cross-section dependence
Reads0
Chats0
TLDR
In this paper, a simple alternative where the standard ADF regressions are augmented with the cross section averages of lagged levels and first-differences of the individual series is proposed, and it is shown that the individual CADF statistics are asymptotically similar and do not depend on the factor loadings.Abstract:
A number of panel unit root tests that allow for cross section dependence have been proposed in the literature that use orthogonalization type procedures to asymptotically eliminate the cross dependence of the series before standard panel unit root tests are applied to the transformed series. In this paper we propose a simple alternative where the standard ADF regressions are augmented with the cross section averages of lagged levels and first-differences of the individual series. New asymptotic results are obtained both for the individual CADF statistics, and their simple averages. It is shown that the individual CADF statistics are asymptotically similar and do not depend on the factor loadings. The limit distribution of the average CADF statistic is shown to exist and its critical values are tabulated. Small sample properties of the proposed test are investigated by Monte Carlo experiments. The proposed test is applied to a panel of 17 OECD real exchange rate series as well as to log real earnings of households in the PSID data.read more
Citations
More filters
Journal ArticleDOI
Does wood biomass energy use reduce CO2 emissions in European Union member countries? Evidence from 27 members
TL;DR: In this article, the authors investigated the effect of wood biomass energy consumption on CO2 emissions in 27 European Union (EU) member countries for the 1990-2017 period and found that CO2 emission decline with an increase in wood biomass consumption.
Journal ArticleDOI
Does sustainable growth, energy consumption and environment challenges matter for Belt and Road Initiative feat? A novel empirical investigation
Abdul Rauf,Xiaoxing Liu,Waqas Amin,Obaid Ur Rehman,Jinkai Li,Fayyaz Ahmad,Festus Victor Bekun +6 more
TL;DR: In this article, the authors explore the nexus between energy consumption, economic growth, population growth, financial development and carbon emission (CO2) for the panel of 65 BRI countries over the period of 1981-2016.
Journal ArticleDOI
Relationship between biomass energy and economic growth in transition countries: panel ARDL approach
TL;DR: In this article, the authors investigated the cointegration and causality relationship between the biomass energy consumption and economic growth in the transition countries by the Panel Auto Regressive Distributed Lag (ARDL) method and Pedroni co-integration analysis for 1990-2011.
Journal ArticleDOI
An empirical analysis of the determinants of CO2 emissions in GCC countries
TL;DR: In this paper sustainable development has recently attracted growing attention on behalf of scientists and policymakers, and one of the main pillars to achieve sustainable development goals is decidedly linked to the development goals.
Journal ArticleDOI
Asymmetric effects of energy efficiency and renewable energy on carbon emissions of BRICS economies: evidence from nonlinear panel autoregressive distributed lag model
TL;DR: Based on the empirical findings, policymakers should consider the asymmetric behavior of the EE, RE, and economic growth while formulating, energy, environment, and growth policies of BRICS countries.
References
More filters
Journal ArticleDOI
Testing for a Unit Root in Time Series Regression
TL;DR: In this article, the authors proposed new tests for detecting the presence of a unit root in quite general time series models, which accommodate models with a fitted drift and a time trend so that they may be used to discriminate between unit root nonstationarity and stationarity about a deterministic trend.
Journal ArticleDOI
Testing for unit roots in heterogeneous panels
TL;DR: In this article, a unit root test for dynamic heterogeneous panels based on the mean of individual unit root statistics is proposed, which converges in probability to a standard normal variate sequentially with T (the time series dimension) →∞, followed by N (the cross sectional dimension)→∞.
Journal ArticleDOI
Unit root tests in panel data: asymptotic and finite-sample properties
TL;DR: In this article, the authors consider pooling cross-section time series data for testing the unit root hypothesis, and they show that the power of the panel-based unit root test is dramatically higher, compared to performing a separate unit-root test for each individual time series.
Journal ArticleDOI
Time series analysis
TL;DR: A ordered sequence of events or observations having a time component is called as a time series, and some good examples are daily opening and closing stock prices, daily humidity, temperature, pressure, annual gross domestic product of a country and so on.
Related Papers (5)
Unit root tests in panel data: asymptotic and finite-sample properties
A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test
G. S. Maddala,Shaowen Wu +1 more