What would Nelson and Plosser find had they used panel unit root tests?
Abstract: In this study, we systemically apply nine recent panel unit root tests to the same fourteen macroeconomic and financial series as those considered in the seminal paper by Nelson and Plosser (1982). The data cover OECD countries from 1950 to 2003. Our results clearly point out the difficulty that applied econometricians would face when they want to get a simple and clear-cut diagnosis with panel unit root tests. We confirm the fact that panel methods must be very carefully used for testing unit roots in macroeconomic or financial panels. More precisely, we find mitigated results under the cross-sectional independence assumption, since the unit root hypothesis is rejected for many macroeconomic variables. When international cross-correlations are taken into account, conclusions depend on the specification of these cross-sectional dependencies. Two groups of tests can be distinguished. The first group tests are based on a dynamic factor structure or an error component model. In this c
- Location
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Deutsche Nationalbibliothek Frankfurt am Main
- Extent
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Online-Ressource
- Language
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Englisch
- Notes
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Postprint
begutachtet (peer reviewed)
In: Applied Economics ; 42 (2010) 12 ; 1515-1531
- Classification
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Wirtschaft
- Event
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Veröffentlichung
- (where)
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Mannheim
- (when)
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2010
- Creator
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Christophe, Hurlin
- DOI
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10.1080/00036840701721539
- URN
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urn:nbn:de:0168-ssoar-251134
- Rights
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Open Access unbekannt; Open Access; Der Zugriff auf das Objekt ist unbeschränkt möglich.
- Last update
- 15.08.2025, 7:31 AM CEST
Data provider
Deutsche Nationalbibliothek. If you have any questions about the object, please contact the data provider.
Associated
- Christophe, Hurlin
Time of origin
- 2010
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