Arbeitspapier
A simple panel-CADF test for unit roots
In this paper we propose a simple extension to the panel case of the covariate-augmented Dickey Fuller (CADF) test for unit roots developed in Hansen (1995). The extension we propose is based on a p-values combination approach that takes into account cross-section dependence. We show that the test is easy to compute, has good size properties and gives power gains with respect to other popular panel approaches. A procedure to compute the asymptotic p-values of Hansen's CADF test is also a side-contribution of the paper. We also complement Hansen (1995) and Caporale and Pittis (1999) with some new theoretical results. Two empirical applications are carried out for illustration purposes on international data to test the PPP hypothesis and the presence of a unit root in international industrial production indices.
- Language
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Englisch
- Bibliographic citation
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Series: Reihe Ökonomie / Economics Series ; No. 261
- Classification
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Wirtschaft
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Single Equation Models; Single Variables: Panel Data Models; Spatio-temporal Models
Foreign Exchange
- Subject
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unit root
panel data
approximate P-values
Monte Carlo
- Event
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Geistige Schöpfung
- (who)
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Costantini, Mauro
Lupi, Claudio
- Event
-
Veröffentlichung
- (who)
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Institute for Advanced Studies (IHS)
- (where)
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Vienna
- (when)
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2011
- Handle
- Last update
-
10.03.2025, 11:42 AM CET
Data provider
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Object type
- Arbeitspapier
Associated
- Costantini, Mauro
- Lupi, Claudio
- Institute for Advanced Studies (IHS)
Time of origin
- 2011
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