An Intersection Test for Panel Unit Roots

Econometric Reviews

Volumn 32, Issue 2, 2013, Pages 183-203

  Hanck, Christoph ^a  

^a UNIVERSITY OF GRONINGEN   (Netherlands)

Author keywords

Cross sectional dependence; Multiple testing; Panel unit root test

Indexed keywords

EID: 84867531247     PISSN: 07474938     EISSN: 15324168     Source Type: Journal    
DOI: 10.1080/07474938.2011.608058     Document Type: Article

References (38)

1. Bai, J., Ng, S. (2002). Determining the number of factors in approximate factor models. Econometrica 70: 191-221.
2. Bai, J., Ng, S. (2004). A PANIC attack on unit roots and cointegration. Econometrica 72: 1127-1177.
3. Banerjee, A. (1999). Panel data unit roots and cointegration: An overview. Oxford Bulletin of Economics and Statistics 61: 607-629.
4. Banerjee, A., Marcellino, M., Osbat, C. (2004). Some cautions on the use of panel methods for integrated series of macroeconomic data. The Econometrics Journal 7: 322-340.
5. Boucher Breuer, J., McNown, R., Wallace, M. S. (2001). Misleading inferences from panel unit root tests with an illustration from purchasing power parity. Review of International Economics 9: 482-493.
6. Breitung, J., Das, S. (2005). Panel unit root tests under cross sectional dependence. Statistica Neerlandica 59: 414-433.
7. Breitung, J., Pesaran, M. H. (2008). Unit roots and cointegration in panels. In: Matyas, L., Sevestre, P., eds. The Econometrics of Panel Data: Fundamentals and Recent Developments in Theory and Practice. Chap. 9, 3rd ed. Dordrecht: Kluwer Academic Publishers, pp. 279-322.
8. Chang, Y. (2004). Bootstrap unit root tests in panels with cross-sectional dependency. Journal of Econometrics 120: 263-293.
9. Demetrescu, M., Hassler, U., Tarcolea, A.-I. (2006). Combining significance of correlated statistics with application to panel data. Oxford Bulletin of Economics and Statistics68:647-663.
10. Dickey, D. A., Fuller, W. A. (1979). Distribution of the estimators for autoregressive time series with a unit root. Journal of the American Statistical Association 74: 427-431.
11. Dudoit, S., Shaffer, J. P., Boldrick, J. C. (2003). Multiple hypothesis testing in microarray experiments. Statistical Science 18: 71-103.
12. Elliott, G., Rothenberg, T. J., Stock, J. H. (1996). Efficient tests for an autoregressive unit root. Econometrica 64: 813-836.
13. Fisher, R. (1932). Statistical Methods for Research Workers. London: Oliver and Boyd.
14. Gengenbach, C., Palm, F. C., Urbain, J.-P. (2010). Panel unit root tests in the presence of cross-sectional dependencies: comparison and implications for modelling. Econometric Reviews 29: 111-145.
15. Hanck, C. (2008). The error-in-rejection probability of meta analytic panel tests. Economics Letters 101: 27-30.
16. Hanck, C. (2009). For which countries did PPP hold? A multiple testing approach. Empirical Economics 37: 93-103.
17. Hartung, J. (1999). A note on combining dependent tests of significance. Biometrical Journal 41: 849-855.
18. Hommel, G. (1988). A stagewise rejective multiple tests procedure based on a modified bonferroni test. Biometrika 75: 383-386.
19. Im, K. S., Pesaran, M. H., Shin, Y. (2003). Testing for unit roots in heterogeneous panels. Journal of Econometrics 115: 53-74.
20. Levin, A., Lin, C.-F., Chu, C.-S. J. (2002). Unit root tests in panel data: asymptotic and finite-sample properties. Journal of Econometrics 108: 1-24.
21. Littell, R. C., Folks, J. L. (1971). Asymptotic optimality of Fisher's method of combining independent tests. Journal of the American Statistical Association 66: 802-806.
22. MacKinnon, J. G. (1996). Numerical distribution functions for unit root and cointegration tests. Journal of Applied Econometrics 11: 601-618.
23. Maddala, G., Wu, S. (1999). A comparative study of unit root tests with panel data and a new simple test. Oxford Bulletin of Economics and Statistics 61: 631-652.
24. Moon, H. R., Perron, B. (2004). Testing for a unit root in panels with dynamic factors. Journal of Econometrics 122: 81-126.
25. Ng, S. (2008). A simple test for nonstationarity in mixed panels. Journal of Business & Economic Statistics 26: 113-127.
26. O'Connell, P. G. (1998). The overvaluation of purchasing power parity. Journal of International Economics 44: 1-19.
27. Pesaran, M. H. (2007). A simple panel unit root test in the presence of cross section dependence. Journal of Applied Econometrics 22: 265-312.
28. Phillips, P. C. B., Perron, P. (1988). Testing for unit roots in time series regression. Biometrika 75: 335-346.
29. Phillips, P. C. B., Sul, D. (2003). Dynamic panel estimation and homogeneity testing under cross section dependence. The Econometrics Journal 6: 217-259.
30. Rogoff, K. (1996). The purchasing power parity puzzle. Journal of Economic Literature 34: 647-668.
31. Romano, J. P., Wolf, M. (2005). Stepwise multiple testing as formalized data snooping. Econometrica 73: 1237-1282.
32. Romano, J. P., Shaikh, A. M., Wolf, M. (2008). Formalized data snooping based on generalized error rates. Econometric Theory 24: 404-447.
33. 2 random variables: A proof of the simes conjecture. The Annals of Statistics 26: 494-504.
34. Schwert, G. (1989). Tests for unit roots: A Monte Carlo investigation. Journal of Business & Economic Statistics 7: 147-159.
35. Simes, R. J. (1986). An improvbonferroni procedure for multiple tests of significance. Biometrika 73: 751-754.
36. Stouffer, S., Suchman, E., DeVinney, L., Star, S., Williams, R. (1949). The American Soldier. Princeton: Princeton University Press.
37. Taylor, A. M. (2002). A century of purchasing-power parity. The Review of Economics and Statistics 84: 139-150.
38. Taylor, M. P., Sarno, L. (1998). The behavior of real exchange rates during the post-bretton woods period. Journal of International Economics 46: 281-312.