Beyond Panel Unit Root Tests: Using Multiple Testing to Determine the Non Stationarity Properties of Individual Series in a Panel
نویسندگان
چکیده
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 on some ad hoc significance level. In this paper, we suggest and demonstrate how to use the false discovery rate (FDR) in evaluating I (1) = I (0) classifications.
منابع مشابه
Are Shocks to Real Output Permanent or Transitory? Evidence from a Panel of Pacific Island Countries
This paper applies conventional panel unit root tests and panel stationarity tests with and without structural breaks to examine the time series properties of real Gross Domestic Product (GDP) per capita for a panel of eight Pacific Island economies. The panel unit root and panel stationarity tests without structural breaks suggest that for the panel as a whole real GDP per capita contains a un...
متن کاملA 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...
متن کاملA Study of Testing Mean Reversion in the Inflation Rate of Iran’s Provinces: New Evidence Using Quantile Unit Root Test
T his paper is to examine the mean reverting properties of inflation rates for Iran’s 25 provinces over the period from 1990:4 to 2017:7. To the end, we use various conventional univariate linear and non-linear unit root tests, as well as quantile unit root test by Koenker and Xiao (2004). Results of conventional unit root tests indicate that the null hypothesis of the unit root test...
متن کاملPanel Stationarity Tests with Cross-sectional Dependence
We present a test of the null hypothesis of stationarity against unit root alternatives for panel data that allows for arbitrary cross-sectional dependence. We treat the short run time series dynamics non-parametrically and thus avoid the need to fit separate models for the individual series. The statistic is simple to compute and is asymptotically normally distributed, even in the presence of ...
متن کاملAn 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...
متن کامل