Journal article | Zeitschriftenartikel
Time-Specific Disturbances in a Panel Data Stationarity Test
In this paper, we investigate the performance of a panel data stationarity test when cross-sectional correlation is modelled by a time-specific factor. Size distortions, that occurs especially when the number of cross sections is small, are documented. To eliminate these distortions, a new set of critical values is supplied. When investigating the rejection frequency under the alternative hypothesis, it is found that the panel data stationarity test that uses the supplied critical values maintain good power characteristics even when only a subset of the cross-sectional units have a unit root.
- ISSN
-
1466-4283
- Extent
-
Seite(n): 845-853
- Language
-
Englisch
- Notes
-
Status: Postprint; begutachtet (peer reviewed)
- Bibliographic citation
-
Applied Economics, 43(7)
- Subject
-
Wirtschaft
Wirtschaftsstatistik, Ökonometrie, Wirtschaftsinformatik
- Event
-
Geistige Schöpfung
- (who)
-
Jönsson, Kristian
- Event
-
Veröffentlichung
- (when)
-
2009
- DOI
- URN
-
urn:nbn:de:0168-ssoar-242216
- Rights
-
GESIS - Leibniz-Institut für Sozialwissenschaften. Bibliothek Köln
- Last update
-
21.06.2024, 4:27 PM CEST
Data provider
This object is provided by:
GESIS - Leibniz-Institut für Sozialwissenschaften. Bibliothek Köln. If you have any questions about the object, please contact the data provider.
GESIS - Leibniz-Institut für Sozialwissenschaften. Bibliothek Köln. If you have any questions about the object, please contact the data provider.
Object type
- Zeitschriftenartikel
Associated
- Jönsson, Kristian
Time of origin
- 2009
Other Objects (12)
Time-Specific Disturbances in a Panel Data Stationarity Test
Testing for Stationarity in Panel Data Models when Disturbances are Cross-Sectionally Correlated
Real Interest Parity: A Note on Asian Countries Using Panel Stationarity Tests
A Wavelet-Based Test for Stationarity
Reducing size distortions of parametric stationarity tests
Reducing Size Distortions of Parametric Stationarity Tests
On the Use of Panel Stationarity Tests in Convergence Analysis: Empirical Evidence for the EU Countries
Determining the stationarity properties of individual series in panel datasets
A test for stationarity based on empirical processes
A likelihood ratio test for stationarity of rating transitions
A likelihood ratio test for stationarity of rating transitions
A likelihood ratio test for stationarity of rating transitions
Time-Specific Disturbances in a Panel Data Stationarity Test
Testing for Stationarity in Panel Data Models when Disturbances are Cross-Sectionally Correlated
Real Interest Parity: A Note on Asian Countries Using Panel Stationarity Tests
A Wavelet-Based Test for Stationarity
Reducing size distortions of parametric stationarity tests
Reducing Size Distortions of Parametric Stationarity Tests
On the Use of Panel Stationarity Tests in Convergence Analysis: Empirical Evidence for the EU Countries
Determining the stationarity properties of individual series in panel datasets
A test for stationarity based on empirical processes
A likelihood ratio test for stationarity of rating transitions
A likelihood ratio test for stationarity of rating transitions
A likelihood ratio test for stationarity of rating transitions
Time-Specific Disturbances in a Panel Data Stationarity Test
Testing for Stationarity in Panel Data Models when Disturbances are Cross-Sectionally Correlated
Real Interest Parity: A Note on Asian Countries Using Panel Stationarity Tests
A Wavelet-Based Test for Stationarity
Reducing size distortions of parametric stationarity tests
Reducing Size Distortions of Parametric Stationarity Tests
On the Use of Panel Stationarity Tests in Convergence Analysis: Empirical Evidence for the EU Countries
Determining the stationarity properties of individual series in panel datasets
A test for stationarity based on empirical processes
A likelihood ratio test for stationarity of rating transitions
A likelihood ratio test for stationarity of rating transitions