Is real GDP stationary? Evidence from a panel unit root test with cross-sectional dependence and historical data
نویسندگان
چکیده
منابع مشابه
A Nonlinear Panel Unit Root Test under Cross Section Dependence
We propose a nonlinear heterogeneous panel unit root test for testing the null hypothesis of unit-root processes against the alternative that allows a proportion of units to be generated by globally stationary ESTAR processes and a remaining non-zero proportion to be generated by unit root processes. The proposed test is simple to apply and accommodates cross section dependence. Monte Carlo sim...
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In this paper alternative approaches for testing the unit root hypothesis in panel data are considered. First, a robust version of the Dickey-Fuller t-statistic under contemporaneous correlated errors is suggested. Second, the GLS t-statistic is considered, which is based on the t-statistic of the transformed model. The asymptotic power of both tests against a sequence of local alternatives is ...
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The increasing availability of new datasets where the time-series dimension and the cross-section dimension are of the same order of magnitude asks for new techniques for the analysis of this peculiar kind of data. In the panel unit root test framework, two generations of tests have been developed: a first generation whose main limit is the assumption of cross-sectional independence across unit...
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This paper re-examines the stationarity of national health care expenditures and GDP in a panel setting utilizing data from 20 OECD countries over the period from 1960 to 1997. Previous research in this area has recognized the drawback of not allowing for structural breaks in their unit root tests and noted that their empirical results may not be robust. We advance the literature by utilizing a...
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ژورنال
عنوان ژورنال: Empirical Economics
سال: 2013
ISSN: 0377-7332,1435-8921
DOI: 10.1007/s00181-012-0668-z