A comparative study of unit root tests with panel data and a new simple test

Oxford Bulletin of Economics and Statistics

Volumn 61, Issue SUPPL., 1999, Pages 631-652

  Maddala, G S ^a   Wu, Shaowen ^a  

^a NONE

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0001187515     PISSN: 03059049     EISSN: None     Source Type: Journal    
DOI: 10.1111/1468-0084.0610s1631     Document Type: Article

References (38)

1. Alt, F. B. (1982). 'Bonferroni Inequalities and Intervals', in Johnson, N. L. and Kotz, S. (eds.) Encyclopedia of Statistical Sciences, Vol. I, 294-301, Wiley, New York.
2. Becker, B. J. (1997). 'P-Values: Combination', in Kotz, S. and Read, C. B. (eds.) Encyclopedia of Statistical Sciences: Update, Vol. I, 448-453, Wiley, New York.
3. Breitung, J. and Mayer, W. (1994). 'Testing for Unit Roots in Panel Data: Are Wages on Different Bargaining Levels Cointegrated?', Applied Economics, 26, 353-361.
4. Cavanagh, C. L., Elliott, G. and Stock, J. H. (1995). 'Inference in Models with Nearly Nonstationary Regressors', Econometric Theory, 11, 1131-1147.
5. Dufour, J. M. (1990). 'Exact Tests and Confidence Sets in Linear Regressions with Autocorrelated Errors', Econometrica, 58, 479-494.
6. Dufour, J. M. and Torres, O. (1996). 'Union-Intersection and Sample-Split Methods in Econometrics with Application to MA and SURE Models', Paper presented at the summer meetings of the Econometric Society, Iowa City.
7. Elliott, G., Rothenberg, T. J. and Stock, J. H. (1996). 'Efficient Tests for an Autoregressive Unit Root', Econometrica, 64, 813-836.
8. Fisher, R. A. (1932). Statistical Methods for Research Workers, Oliver & Boyd, Edinburgh, 4th Edition.
9. Frankel, J. A. and Rose, A. K. (1996). 'A Panel Project on Purchasing Power Parity: Mean Reversion Within and Between Countries', Journal of International Economics, 40, 209-224.
10. Hedges, L. V. and Olkin, I. (1985). Statistical Methods for Meta Analysis, Academic Press, New York.
11. Im, K. S., Pesaran, M. H. and Shin, Y. (1997). 'Testing for Unit Roots in Heterogeneous Panels', Mimeo, Department of Applied Economics, University of Cambridge.
12. Kao, C. (1999). 'Spurious Regression and Residual-Based Tests for Cointegration in Panel Data', Journal of Econometrics, 90, 1-44.
13. Kwiatkowski, D., Phillips, P. C. B., Schmidt, P. and Shin, Y. (1992). 'Testing for the Null of Stationarity Against the Alternative of a Unit Root', Journal of Econometrics, 54, 159-178.
14. Levin, A. and Lin, C. F. (1992). 'Unit Root Test in Panel Data: Asymptotic and Finite Sample Properties', University of California at San Diego, Discussion Paper No. 92-93.
15. Levin, A. and Lin, C. F. (1993). 'Unit Root Test in Panel Data: New Results', University of California at San Diego, Discussion Paper No. 93-56.
16. Leybourne, S. J. and McCabe, B. P. M. (1994). 'A Consistent Test for a Unit Root', Journal of Business and Economic Statistics, 12, 157-166.
17. Li, H. and Maddala, G. S. (1996). 'Bootstrapping Time Series Models' (with discussion), Econometric Reviews, 15, 115-195.
18. McCoskey, S. and Kao, C. (1998a). 'A Residual-Based Test for the Null of Cointegration in Panel Data', Econometric Reviews, 17, 57-84.
19. McCoskey, S. and Kao, C. (1998b). 'A Monte Carlo Comparison of Tests for Cointegration in Panel Data', Mimeo, Center for Policy Research, Syracuse University, February.
20. MacDonald, R. (1996). 'Panel Unit Root Tests and Real Exchange Rates', Economics Letters, 50, 7-11.
21. Maddala, G. S. (1977). Econometrics, McGraw-Hill, New York.
22. Maddala, G. S. and Wu, S. (1999). 'Cross-country Growth Regressions: Problems of Heterogeneity, Stability and Interpretation', forthcoming in Applied Economics.
23. Maddala, G. S. and Kim, I. M. (1998). Unit Roots, Cointegration and Structural Change, Cambridge University Press, Cambridge.
24. O'Connell, P. (1998). 'The Overvaluation of Purchasing Power Parity', Journal of International Economics, 44, 1-19.
25. Oh, K. Y. (1996). 'Purchasing Power Parity and Unit Root Tests using Panel Data', Journal of International Money and Finance, 15, 405-418.
26. Papell, D. H. (1997). 'Searching for Stationarity: Purchasing Power Parity under the Current Float', Journal of International Economics, 43, 313-332.
27. Pedroni, P. (1995). 'Panel Cointegration: Asymptotic and Finite Sample Properties of Pooled Time Series Tests with an Application to the PPP Hypothesis', Indiana University Working Paper in Economics No. 95-013.
28. Pedroni, P. (1997). 'Panel Cointegration: Asymptotic and Finite Sample Properties of Pooled Time Series Tests with an Application to the PPP Hypothesis: New Results', Indiana University Working Paper in Economics.
29. Perron, P. and Ng, S. (1996). 'Useful Modifications to some Unit Root Tests with Dependent Errors and their Local Asymptotic Properties', Review of Economic Studies, 63, 435-465.
30. Phillips, P. C. B. and Moon, H. (1999). 'Linear Regression Limit Theory for Nonstationary Panel Data', Econometrica, 67, 1057-1111.
31. Quah, D. (1992). 'International Patterns of Growth I: Persistence in Cross-Country Disparities', LSE Working Paper.
32. Quah, D. (1994). 'Exploiting Cross-Section Variation for Unit Root Inference in Dynamic Data', Economics Letters, 44, 9-19.
33. Rao, C. R. (1952). Advanced Statistical Methods in Biometric Research, Wiley, New York.
34. Rayner, R. K. (1990). 'Bootstrapping P-values and Power in the First-Order Autoregression: A Monte Carlo Investigation', Journal of Business & Economic Statistics, 8, 251-263.
35. Savin, N. E. (1984). 'Multiple Hypothesis Testing', Handbook of Econometrics, eds. Griliches, Z. and Intriligator, M. D., Chapter 14, North-Holland, Amsterdam.
36. Tippett, L. H. C. (1931). The Methods of Statistics, Williams & Norgate, London, 1st Edition.
37. Wu, S. (1998). 'Nonstationary Panel Data Analysis', Thesis, Ohio State University.
38. Wu, Y. (1996). 'Are Real Exchange Rates Stationary? Evidence from a Panel Data Test', Journal of Money, Credit and Banking, 28, 54-63.