What would Nelson and Plosser find had they used panel unit root tests?
نویسندگان
چکیده
منابع مشابه
Nonlinear 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 کاملOn the power and interpretation of panel unit root tests
We demonstrate that panel unit root tests can have high power when a small fraction of the series is stationary and may lack power when a large fraction is stationary. The acceptance or rejection of the null is thus not sufficient evidence to conclude that all series have a unit root or that all are stationary. 2000 Elsevier Science S.A. All rights reserved.
متن کاملNelson and Plosser Revisited: A Re-Examination using OECD Panel Data∗
This paper applies various recent panel unit root tests to 14 macroeconomic variables. These variables, observed for the OECD countries since the 50’s, are the same as those considered in the seminal paper by Nelson and Plosser (1982) for the United States. Two distinct generations of tests are used. The first one is based on a cross-sectional independence assumption. If we consider only tests ...
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 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: Applied Economics
سال: 2010
ISSN: 0003-6846,1466-4283
DOI: 10.1080/00036840701721539