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A simple panel unit root test in the presence of cross-section dependence

M. Hashem Pesaran
- 01 Mar 2007 - 
- Vol. 22, Iss: 2, pp 265-312
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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.

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Exploring the role of renewable energy, urbanization and structural change for environmental sustainability: Comparative analysis for practical implications

- 01 Jan 2022 - 
TL;DR: In this article , the authors explored the relationship between economic complexity, human capital, renewable energy, urbanization, economic development, and ecological footprint in 20 countries divided into two panels (leading ten economic complex and renewable energy-consuming countries).
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Environmental cost of natural resource rents based on production and consumption inventories of carbon emissions: Assessing the role of institutional quality

TL;DR: In this article, the association between resource rents, energy intensity, trade and disaggregated CO2 emissions is examined for 93 nations spanning 23 years (1995-2017), while accounting for the quality of government (QoG).
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Re-examining the roles of economic globalization and natural resources consequences on environmental degradation in E7 economies: Are human capital and urbanization essential components?

TL;DR: In this paper, the impacts of economic globalization on environmental degradation are investigated in the E7 economies in the presence of some control variables including economic growth, natural resources, urbanization, and human capital between 1990 and 2016 in a carbon-income environment.
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Environmental quality and the role of economic policy uncertainty, economic complexity, renewable energy, and energy intensity: the case of G7 countries

TL;DR: In this paper, the authors explored the environmental impacts of economic policy uncertainty, economic complexity, renewable energy, and energy intensity on the countries in the Group of Seven (G7) countries.
References
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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.
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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)→∞.
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Time Series Analysis.

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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

James D. Hamilton
- 01 Feb 1997 - 
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.
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