منابع مشابه
A Simes-type Panel Unit Root Test
This paper proposes a new panel unit root test based on Simes’ [Biometrika 1986, “An Improved Bonferroni Procedure for Multiple Tests of Significance”] classical intersection test. The test is robust to general patterns of cross-sectional dependence and yet straightforward to implement, only requiring p-values of time series unit root tests of the series in the panel, and no resampling. Monte C...
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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...
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A lot of time series analysis in economics and nance is to determine whether a unit root and/or seasonal unit root is present in the data. These tests are usually based on unit root tests orginally developed by Dickey & Fuller(1981). Testing for the presence of a seasonal root has been considered by Dickey, Hasza & Fuller (1984). Li(1991) considered tests for the existence of a seasonal and a r...
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Most panel unit root tests are designed to test the joint null hypothesis of a unit root for each individual series in a panel. After a rejection, it will often be of interest to identify which series can be deemed to be stationary and which series can be deemed nonstationary. Researchers will sometimes carry out this classi.cation on the basis of n individual (univariate) unit root tests based...
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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...
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ژورنال
عنوان ژورنال: Economics Letters
سال: 2003
ISSN: 0165-1765
DOI: 10.1016/s0165-1765(03)00210-6