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
What abates ecological footprint in BRICS-T region? Exploring the influence of renewable energy, non-renewable energy, agriculture, forest area and financial development
TL;DR: In this article, the authors investigated the dynamic nexus between ecological footprint, agriculture value-added, forest area, non-renewable and renewable energy utilization, and financial development in BRICS-T (Brazil, Russia, India, China, South Africa, and Turkey) countries from 1990 to 2018.
Journal ArticleDOI
Does human capital matter for energy consumption in China
Ruhul Salim,Yao Yao,George Chen +2 more
TL;DR: This paper investigated the relationship between human capital and energy consumption using Chinese provincial data over the period 1990-2010 and found that a 1% increase in human capital reduces energy consumption by a range between 0.18% and 0.45%.
Journal ArticleDOI
Renewable and non-renewable electricity consumption, environmental degradation and economic development: Evidence from Mediterranean countries
TL;DR: In this paper, an empirical model was developed to investigate the causal link between renewable and non-renewable electricity consumption, GDP and carbon emissions by using a panel of 9 Mediterranean countries over the period 1980-2014.
Journal ArticleDOI
The energy consumption - real GDP nexus revisited : empirical evidence from 93 countries
TL;DR: In this paper, the long-run relationship between energy consumption and real GDP for 93 countries was analyzed and mixed results on the impact of energy consumption on real GDP were found, with greater evidence at the country level supporting energy consumption having a negative causal effect on the real GDP.
Journal ArticleDOI
Investigation of the ecological footprint’s driving factors: What we learn from the experience of emerging economies
TL;DR: In this paper, the authors investigated the impact of energy consumption, urbanization and economic growth on emerging economies' ecological footprints over the period from 1971 to 2014, and found that urbanization increases the ecological footprint, but the moderating effects of economic growth and urbanization reduce the ecological footprints, reducing environmental degradation in Next-11 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