More powerful panel data unit root tests with an application to mean reversion in real exchange rates

Journal of Applied Econometrics

Volumn 19, Issue 2, 2004, Pages 147-170

  Vanessa Smith, L ^a   Leybourne, Stephen ^b   Kim, Tae Hwan ^b   Newbold, Paul ^b  

^a UNIVERSITY OF CAMBRIDGE   (United Kingdom)

^b UNIVERSITY OF NOTTINGHAM   (United Kingdom)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 10044239584     PISSN: 08837252     EISSN: None     Source Type: Journal    
DOI: 10.1002/jae.723     Document Type: Article

References (20)

1. Basawa IV, Mallik AK, McCormick WP, Reeves JH, Taylor RL. 1991. Bootstrapping unstable first-order autoregressive processes. Annals of Statistics 19: 1098-1101.
2. Culver SE, Papell DH. 1997. Is there a unit root in the inflation rate? Evidence from sequential break and panel data models. Journal of Applied Econometrics 12: 435-444.
3. Elliot G. 1999. Efficient tests for a unit root when the initial observation is drawn from its unconditional distribution. International Economic Review 40: 767-783.
4. Elliot G, Rothenberg TJ, Stock JH. 1996. Efficient tests for an autoregressive unit root. Econometrica 64: 813-836.
5. Fleissig AR, Strauss J. 1999. Is OECD real per capita GDP trend or difference stationary? Evidence from panel unit root tests. Journal of Macroeconomics 21: 489-506.
6. Im KS, Pesaran MH, Shin Y. 1997. Testing for unit roots in heterogeneous panels. Working Paper, Department of Applied Economics, University of Cambridge.
7. Lee HY, Wu JL. 2001. Mean reversion of inflation rates: evidence from 13 OECD countries. Journal of Macroeconomics 23: 477-487.
8. Levin A, Lin CF. 1992. Unit root tests in panel data: asymptotic and finite sample properties. Discussion Paper, Department of Economics, University of California San Diego.
9. Leybourne SJ. 1995. Testing for unit roots using forward and reverse Dickey-Fuller Regressions. Oxford Bulletin of Economics and Statistics 57: 559-571.
10. Leybourne SJ, Kim T-H, Newbold P. 2002. Examination of some more powerful modifications of the Dickey-Fuller test. Working Paper, School of Economics, University of Nottingham.
11. Maddala GS, Wu S. 1999. A comparative study of unit root tests with panel data and a new simple approach. Oxford Bulletin of Economics and Statistics 61: 631-652.
12. O'Connell PGJ. 1998. The overvaluation of purchasing power parity. Journal of International Economics 44: 1-19.
13. Oh KY. 1996. Purchasing power parity and unit root tests using panel data. Journal of International, Money and Finance 15: 405-418.
14. Pantula SG, Gonzalez-Farias G, Fuller WA. 1994. A comparison of unit-root test criteria. Journal of Business & Economic Statistics 12: 449-459.
15. Papell DH. 1997. Searching for stationarity: purchasing power parity under the current float. Journal of International Economics 43: 313-332.
16. Solo V. 1984. The order of differencing in ARIMA models. Journal of the American Statistical Association 79: 916-921.
17. Stine RA. 1987. Estimating properties of autoregressive forecasts. Journal of the American Statistical Association 82: 1072-1078.
18. Taylor MP, Sarno L. 1998. The behavior of real exchange rates during the post-Bretton Woods period. Journal of International Economics 46: 281-312.
19. Wu JL, Chen SL. 1998. A re-examination of real interest rate parity. Canadian Journal of Economics 31: 837-851.
20. Wu Y. 1996. Are real exchange rates nonstationary? Evidence from a panel-data test. Journal of Money, Credit and Banking 28: 54-63.