Panel Unit Root Tests by Combining Dependent Values: A Comparative Study
نویسندگان
چکیده
منابع مشابه
Panel Unit Root Tests by Combining Dependent P Values: A Comparative Study
We conduct a systematic comparison of the performance of four commonly used P value combination methods applied to panel unit root tests: the original Fisher test, the modified inverse normal method, Simes test, and the modified truncated product method TPM . Our simulation results show that under cross-section dependence the original Fisher test is severely oversized, but the other three tests...
متن کاملNonlinear IV Panel Unit Root Tests
This paper presents the nonlinear IV methodology as an effective inferential basis for nonstationary panels. The nonlinear IV method resolves the inferential difficulties in testing for unit roots arising from the intrinsic heterogeneities and cross-dependencies of panel models. Individual units are allowed to be dependent through correlations among innovations, interrelatedness of short-run dy...
متن کاملPanel unit root tests of firm size and its growth
This paper investigates Gibrat’s law by using a panel unit root test, as a panel unit root can increase power in contrast to a conventional individual ADF test. At first this paper uses the panel unit root test to testify Gibrat’s law under independent and identical distribution, with the test results rejecting the null hypothesis of Gibrat’s law. Independent and identical distributions are not...
متن کاملPanel Unit Root Tests Under Cross Sectional Dependence
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 ...
متن کاملOn the interpretation of panel unit root tests
Applications of panel unit root tests have become commonplace in empirical economics, yet there are ambiguities as how best to interpret the test results. This note clarifies that rejection of the panel unit root hypothesis should be interpreted as evidence that a statistically significant proportion of the units are stationary. Accordingly, in the event of a rejection, and in applications wher...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of Probability and Statistics
سال: 2011
ISSN: 1687-952X,1687-9538
DOI: 10.1155/2011/617652