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
Dynamic linkage between renewable and conventional energy use, environmental quality and economic growth: Evidence from Emerging Market and Developing Economies
TL;DR: In this article, a panel data of 45 Emerging Market and Developing Economies (EMDEs) from 1990 to 2014 was employed in the study, where the authors applied heterogeneous panel data approach and second-generational econometric techniques that permit cross-sectional dependence and slope heterogeneity.
Journal ArticleDOI
How much does increasing non-fossil fuels in electricity generation reduce carbon dioxide emissions?
Brantley Liddle,Perry Sadorsky +1 more
TL;DR: In this paper, the authors used a large panel data set of 93 countries and recently developed panel estimation techniques to answer the question by how much does increasing non-fossil fuels in electricity generation reduce the subsequent carbon dioxide emissions.
Journal ArticleDOI
Energy poverty and education: Fresh evidence from a panel of developing countries
TL;DR: In this paper, the authors empirically assess the impact of education on energy poverty through the lens of human capital theory and find that education has a negative impact on the energy poverty.
Journal ArticleDOI
Is there really a unit root in the inflation rate? More evidence from panel data models
TL;DR: In this article, the authors test the robustness of this result by applying a battery of recent panel unit root tests and find that the stationarity of inflation holds even after controlling for cross-sectional dependence and structural change.
Journal ArticleDOI
Economic growth, fossil fuel and non-fossil consumption: a Pooled Mean Group analysis using proxies for capital
TL;DR: In this paper, the authors employed a Pooled Mean Group estimator to examine the nexus between economic growth and fossil and non-fossil fuel consumption for 53 countries between 1990 and 2012.
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