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Journal ArticleDOI

Unit root tests in panel data: asymptotic and finite-sample properties

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TLDR
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.
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This article is published in Journal of Econometrics.The article was published on 2002-05-01. It has received 10792 citations till now. The article focuses on the topics: Unit root & Unit root test.

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Citations
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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

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

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.
Book

Time series analysis, forecasting and control

TL;DR: In this article, a complete revision of a classic, seminal, and authoritative book that has been the model for most books on the topic written since 1970 is presented, focusing on practical techniques throughout, rather than a rigorous mathematical treatment of the subject.
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)→∞.
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