Journal ArticleDOI
Testing for unit roots in heterogeneous panels
TLDR
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)→∞.About:
This article is published in Journal of Econometrics.The article was published on 2003-07-01. It has received 12838 citations till now. The article focuses on the topics: Test statistic & Unit root test.read more
Citations
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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
A Simple Panel Unit Root Test in the Presence of Cross Section Dependence
TL;DR: In this paper, a simple alternative test where the standard unit root regressions are augmented with the cross section averages of lagged levels and first-differences of the individual series is also considered.
Journal ArticleDOI
A simple panel unit root test in the presence of cross-section dependence
TL;DR: 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.
Journal ArticleDOI
Panel cointegration: asymptotic and finite sample properties of pooled time series tests with an application to the ppp hypothesis
TL;DR: This paper examined properties of residual-based tests for the null of no cointegration for dynamic panels in which both the short-run dynamics and the long-run slope coefficients are permitted to be heterogeneous across individual members of the panel.
References
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Journal ArticleDOI
Distribution of the Estimators for Autoregressive Time Series with a Unit Root
David A. Dickey,Wayne A. Fuller +1 more
TL;DR: In this article, the limit distributions of the estimator of p and of the regression t test are derived under the assumption that p = ± 1, where p is a fixed constant and t is a sequence of independent normal random variables.
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.
Journal ArticleDOI
A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test
G. S. Maddala,Shaowen Wu +1 more
TL;DR: The Im-Pesaran-Shin (IPS) test as discussed by the authors relaxes the restrictive assumption of the LL test and is best viewed as a test for summarizing the evidence from independent tests of the sample hypothesis.
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