We consider the bootstrap unit root tests based on finite order autoregressive integrated models driven by iid innovations, with or without deterministic time trends. A general methodology is developed to approximate asymptotic distributions for the models driven by integrated time series, and used to obtain asymptotic expansions for the Dickey–Fuller unit root tests. The second-order terms in ...

Solberger, M. 2013. Likelihood-Based Tests for Common and Idiosyncratic Unit Roots in the Exact Factor Model. Acta Universitatis Upsaliensis. Digital Comprehensive Summaries of Uppsala Dissertations from the Faculty of Social Sciences 90. 51 pp. Uppsala. ISBN 978-91-554-8754-6. Dynamic panel data models are widely used by econometricians to study over time the economics of, for example, people,...

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 ...

This paper reviews panel unit root and cointegration tests in the context of PPP. It highlights various drawbacks of existing methods. First, unit root tests suffer from severe size distortions in the presence of negative moving average errors. Second, the common demeaning procedure to correct for the bias resulting from homogeneous cross-sectional dependence is not effective; more worryingly, ...

The asymptotic local power of least squares based …xed-T panel unit root tests allowing for a structural break in their individual e¤ects and/or incidental trends of the AR(1) panel data model is studied. These tests correct the least squares estimator of the autoregressive coe¢ cient of this panel data model for its inconsistency due to the individual e¤ects and/or incidental trends of the pan...