Dynamic factor extraction of cross-sectional dependence in panel unit root tests

Journal of Applied Econometrics

Volumn 22, Issue 2, 2007, Pages 313-338

  Kapetanios, George ^a  

^a QUEEN MARY UNIVERSITY OF LONDON   (United Kingdom)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 34248144509     PISSN: 08837252     EISSN: 10991255     Source Type: Journal    
DOI: 10.1002/jae.943     Document Type: Article

References (40)

1. Abuaf N, Jorion P. 1991. Purchasing power parity in the long run. Journal of Finance 45: 157-174.
2. Bai J, Ng S. 2002. Determining the number of factors in approximate factor models. Econometrica 70: 191-221.
3. Bai J, Ng S. 2005. A PANIC attack on unit roots and cointegration. Econometrica 72: 1127-1177.
4. Baltagi B, Bresson G, Pirotte A. 2007. Panel unit root tests and spatial dependence. Journal of Applied Econometrics 22: 339-360.
5. Baltagi BH, Kao C. 2000. Nonstationary panels, cointegration in panels and dynamic panels: a survey. Advances in Econometrics 15: 7-51.
6. Bauer D. 1998. Some asymptotic theory for the estimation of linear systems using maximum likelihood methods or subspace algorithms. PhD thesis, Institute of Econometrics, Operation Research and System Theory, TU Wien, Austria.
7. Breitung J, Das S. 2005. Panel unit root tests under cross sectional dependence. Statistica Neerlandica 59: 414-433.
8. Brillinger DR. 1981. Time Series: Data Analysis and Theory. McGraw-Hill: New York.
9. Chang Y. 2002. Nonlinear IV unit root tests in panels with cross sectional dependence. Journal of Econometrics 110: 261-292.
10. Chang Y. 2004. Bootstrap unit root tests in panels with cross sectional dependence. Journal of Econometrics 120: 263-293.
11. Choi I. 2001. Unit root tests for panel data. Journal of International Money and Banking 20: 249-272.
12. Forni M, Reichlin L. 1996. Dynamic common factors in large cross sections. Empirical Economics 21: 27-42.
13. Forni M, Reichlin L. 1998. Let's get real: a dynamic factor analytical approach to the disaggregated business cycle. Review of Economic Studies 65: 453-474.
14. Forni M, Hallin M, Lippi M, Reichlin L. 2000. The generalised factor model: identification and estimation. Review of Economics and Statistics 82: 540-554.
15. Forni M, Hallin M, Lippi M, Reichlin L. 2004. The generalised factor model: consistency and rates. Journal of Econometrics 119: 231-255.
16. Frankel JA, Rose AK. 1996. A panel project on purchasing power parity: mean reversion within and between countries. Journal of International Economics 40: 209-224.
17. Hadri K. 2000. Testing for stationarity in heterogeneous panel data. Econometrics Journal 3: 148-161.
18. Hakkio G. 1984. A re-examination of purchasing power parity: a multi-country and multi-period study. Journal of International Economics 17: 265-277.
19. Hamilton JD. 1994. Time Series Analysis. Princeton University Press: Princeton, NJ.
20. Hannan E, Diestler M. 1988. The Statistical Theory of Linear Systems. Wiley: New York.
21. Harvey AC, Bates D. 2002. Multivariate unit root tests and testing for convergence. University of Cambridge DAE Working Paper No. 0301.
22. Im KS, Pesaran MH, Shin Y. 2003. Testing for unit roots in heterogeneous panels. Journal of Econometrics 115(1): 53-74.
23. Kapetanios G. 2004. A note on modelling core inflation for the UK using a new dynamic factor estimation method and a large disaggregated price index dataset. Economics Letters 85: 63-69.
24. Kapetanios G, Marcellino M. 2003. A comparison of estimation methods for dynamic factor models of large dimensions. Queen Mary, University of London Working Paper No. 489.
25. Larimore WE. 1983. System Identification, Reduced Order Filters and Modeling via Canonical Variate Analysis. In: Proc. 1983 American Control Conference 2 (H.S. Rao and P. Dorato, Eds.). Piscataway, NJ. pp. 445-451. IEEE Service Centre.
26. Levin A, Lin CF, Chu CS. 2002. Unit root tests in panel data: asymptotic and finite-sample properties. Journal of Econometrics 108: 1-24.
27. MacDonald R. 1996. Panel unit root tests and real exchange rates. Economics Letters 50: 7-11.
28. Maddala GS, Wu S. 1999. A comparative study of unit root tests in panel data and a new simple test. Oxford Bulletin of Economics and Statistics 61: 631-652.
29. Magnus J, Neudecker H. 1988. Matrix Differential Calculus with Applications to Statistics and Econometrics. Wiley: New York.
30. Moon HR, Perron B. 2004. Testing for a unit root in panels with dynamic factors. Journal of Econometrics 122: 81-126.
31. O'Conell PGJ. 1998. The overvaluation of purchasing power parity. Journal of International Economics 44: 1-19.
32. Overshee PV, Moor BD. 1996. Subspace Identification for Linear Systems. Kluwer: Dordrecht.
33. Papell DH. 1997. Searching for stationarity: purchasing power parity under the current float. Journal of International Economics 43: 313-332.
34. Park JY. 2002. An invariance principle for sieve bootstrap in time series. Econometric Theory 18: 469-490.
35. Pesaran MH. 2007. A simple panel unit root test in the presence of cross-section dependence. Journal of Applied Econometrics 22: 265-312.
36. Phillips PCB, Solo V. 1992. Asymptotics for linear processes. Annals of Statistics 20: 971-1001.
37. Phillips PCB, Sul D. 2002. Dynamic panel estimation and homogeneity testing under cross sectional dependence. Cowles Foundation Discussion Paper No. 1362.
38. Smith LV, Leybourne S, Kim T, Newbold P. 2004. More powerful panel data unit root tests with an application to mean reversion in real exchange rates. Journal of Applied Econometrics 19: 147-170.
39. Stock JH, Watson MW. 2002. Macroeconomic forecasting using diffusion indices. Journal of Business and Economic Statistics 20: 147-162.
40. Taylor MP, Sarno L. 1998. The behaviour of real exchange rates during the post-Bretton Woods period. Journal of International Economics 46: 281-312.