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
The impact of financial development and globalization on environmental quality: evidence from South Asian economies
TL;DR: The study analyzed the impact of financial development, globalization, and energy use on the environmental quality of South Asian economies over the period 1990–2014 to suggest that financial development contributes to carbon emissions, whereas globalization has the potential to control emissions.
Journal ArticleDOI
Corruption, natural resources and economic growth: Evidence from OIC countries
Naila Erum,Shahzad Hussain +1 more
TL;DR: In this paper, the impact of corruption and natural resources on economic growth by incorporating the role of per capita income and information communication technologies (ICT) was analyzed for 43 countries of OIC.
Journal ArticleDOI
Testing for unit roots in panels with a factor structure
Jörg Breitung,Samarjit Das +1 more
TL;DR: In this article, the authors considered various tests of the unit root hypothesis in panels where the cross-section dependence is due to common dynamic factors and concluded that the OLS-based test statistics are severely biased, whereas the GLSbased test statistic is asymptotically valid in this situation.
Journal ArticleDOI
The causal dynamics between renewable energy, real GDP, emissions and oil prices: evidence from OECD countries
Nicholas Apergis,James E. Payne +1 more
TL;DR: In this paper, the authors extend the empirical literature on the determinants of renewable energy consumption in the case of 25 OECD countries for the period 1980-2011, and show that a long-run relationship exists between renewable consumption, real GDP per capita, carbon dioxide emissions per capita and real oil prices.
Journal ArticleDOI
The nexus between economic growth, energy use, international trade and ecological footprints: the role of environmental regulations in N11 countries
TL;DR: In this paper, the influence of environmental regulations on the ecological footprints in the context of the Next Eleven countries between 1990 and 2016 was investigated, and the results from the econometric analysis, controlling for cross-sectional dependency issues in the data, reveal that the existing environmental regulations legislated in the next eleven countries are ineffective in reducing the ecological footprint of these nations, while greater energy consumption and openness to international trade are found to boost ecological footprints.
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