Arbeitspapier
Determining the stationarity properties of individual series in panel datasets
An attractive feature of panel unit root tests is the ability to exploit coefficient homogeneity under the null hypothesis of a unit root for all series in order to obtain a more powerful test of the unit root hypothesis. However, under the alternative hypothesis of heterogeneous panel unit root tests of at least one series being stationary, the researcher is left with little idea of how to proceed. In other words if we reject the unit root hypothesis we do not know which series caused the rejection. We propose a method that enables the distinction of a set of series into a group of stationary and a group of nonstationary series. We discuss its theoretical properties and investigate its small sample performance in a Monte Carlo study.
- Language
-
Englisch
- Bibliographic citation
-
Series: Working Paper ; No. 495
- Classification
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Wirtschaft
Hypothesis Testing: General
Statistical Simulation Methods: General
Single Equation Models; Single Variables: Panel Data Models; Spatio-temporal Models
- Subject
-
Panel unit root tests, Sequential testing
Statistischer Test
Panel
Monte-Carlo-Methode
Theorie
Varianzanalyse
- Event
-
Geistige Schöpfung
- (who)
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Kapetanios, George
- Event
-
Veröffentlichung
- (who)
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Queen Mary University of London, Department of Economics
- (where)
-
London
- (when)
-
2003
- Handle
- Last update
-
10.03.2025, 11:45 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Kapetanios, George
- Queen Mary University of London, Department of Economics
Time of origin
- 2003
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