Truncated Product Methods for Panel Unit Root Tests.

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...

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...

Purchasing Power Parity Hypothesis In OIC Countries: Evidence From Panel Unit Root Tests With Heterogeneous Structural Breaks

An Intersection Test for Panel Unit Roots

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...

Convergence of Real Per Capita GDP within East Asian and Middle East Countries: Panel Unit Root Evidence

This paper examines convergence of real GDP per capita in the selected East Asian countries and this relationship with selected Middle East countries during the period 1950-2009. The reason behind this refers to the fact that East Asia countries (including China, Hong Kong, Singapore, Malaysia, Indonesia, Thailand, Japan and South Korea) have been involved in achieving success arising from regi...