Second Generation Panel Unit Root Tests

Keywords

Unit root, Econometrics, Mathematics, Dependency (UML), Covariance matrix

References

• A New Look at the Feldstein-Horioka Puzzle Using an Integrated PanelAnindya Banerjee, Paolo Zanghieri — 2005
• Testing for unit roots: An empirical investigationAndrew S. Downes, Hyginus Leon — 1987
• A PANIC Attack on Unit Roots and CointegrationJushan Bai, Serena Ng — 2004
• On the Panel Unit Root Tests Using Nonlinear Instrumental VariablesKyung So Im, M. Hashem Pesaran — 2003
• The Elusive Empirical Shadow of Growth ConvergencePeter C.B. Phillips, Donggyu Sul — 2003
• Testing the null hypothesis of stationarity against the alternative of a unit root: How sure are we that economic time series have a unit root?Denis Kwiatkowski, Peter C.B. Phillips, Peter Schmidt — 1992
• Determining the Number of Factors in Approximate Factor ModelsJushan Bai, Serena Ng — 2000
• Exploiting Cross Section Variation for Unit Root Inference in Dynamic DataDanny Quah — 1993
• Some Cautions on the Use of Panel Methods for Integrated Series of Macroeconomic DataAnindya Banerjee, Massimiliano Marcellino, Chiara Osbat — 2004
• A Comparative Study of Unit Root Tests with Panel Data and a New Simple TestG. S. Maddala, Shaowen Wu — 1999
• Estimating Long-Run Relationships From Dynamic Heterogeneous PanelsM. Hashem Pesaran, Ron Smith — 1995
• Unit root tests for panel dataIn Choi — 2001
• Nonlinear IV Unit Root Tests in Panels with Cross-Sectional DependencyYoosoon Chang — 2002
• ASYMPTOTIC MOMENTS OF SOME UNIT ROOT TEST STATISTICS IN THE NULL CASESeiji Nabeya — 1999
• Unit root tests in panel data: asymptotic and finite-sample propertiesAndrew Levin, Chien‐Fu Lin, Chia-Shang James Chu — 2002
• Inference for unit roots in dynamic panels where the time dimension is fixedRichard Harris, Elias Tzavalis — 1999
• Shortfalls of panel unit root testingJack Strauss, Taner M. Yigit — 2003
• Testing for Common TrendsJames H. Stock, Mark W. Watson — 1988
• Bootstrap Unit Root Tests in Panels with Cross-Sectional DependencyYoosoon Chang — 2004
• Testing for Stationarity in Heterogeneous Panel DataKaddour Hadri — 2000

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• Unit root testing in panel and time series models : new testsand economic applicationsFlorian Siedenburg — 2010
• Essays on Insurance EconomicsAdam Mantaye — 2012
• ECONOMETRIC EVALUATION OF THE RELATIONSHIP ECONOMIC GROWTH AND UNEMPLOYMENT IN EU & TURKEYErygit Pinar, Cura Serkan, Deniz Züngün — 2014
• The Tax-Spend Debate and Budgetary Policy in AustriaJohann Bröthaler, Michael Getzner — 2015
• Investigating Purchasing Power Parity in Central and Eastern European Countries: A Panel Data ApproachDarja Boršič, Jani Bekő, Alenka Kavkler — 2009
• Equilibrium Real Effective Exchange Rates and Real Exchange Rate Misalignments: Time Series vs. Panel EstimatesOliver Hossfeld — 2010
• Cross-Sectional Dependence in Panel Data AnalysisVasilis Sarafidis, Tom Wansbeek — 2012
• Persistence in Turkish Real Exchange Rates: Panel ApproachesHalûk Erlat — 2009
• The long run relationship between foreign direct investments, exports, and gross domestic product: panel data implicationsMehmet Eryiğit — 2012
• RE-EXAMINATION OF WAGNER’S LAW FOR OECD COUNTRIESKorhan K. Gökmenoğlu, Volkan Alptekin — 2013
• Panel Non-Stationary Tests of the Fisher Hypothesis in a World Wide Context: An Analysis of 114 Economies during the Period 1960-2004Helmut Herwartz, Hans‐Eggert Reimers — 2008
• The effects of variance breaks on homogenous panel unit root testsHelmut Herwartz, Florian Siedenburg — 2009
• Modelling the Fisher hypothesis: World wide evidenceHelmut Herwartz, Hans‐Eggert Reimers — 2006
• The Analysis of Non-Stationary Pooled Time-Series Cross-Section-DataChristoph Birkel — 2015
• Yolsuzluğun Kurumlar Vergisi Gelirleri Üzerine Etkisi: OECD Ülkeleri AnaliziAli İhsan Örücü, Ahmet Aysu, Doğan Bakırtaş — 2012
• Structural Breaks and Electricity Prices: Further Evidence on the Role of Climate Policy Uncertainties in the Australian Electricity MarketNicholas Apergis, Chi Keung Marco Lau — 2015
• What do we really know about the determinants of public spending on education? A robustness check of three empirical modelsLisa Spantig — 2013

Related papers

• Testing for unit roots in heterogeneous panelsKyung So Im, M. Hashem Pesaran, Yongcheol Shin — 2003
• A simple panel unit root test in the presence of cross‐section dependenceM. Hashem Pesaran — 2007
• Unit root tests in panel data: asymptotic and finite-sample propertiesAndrew Levin, Chien‐Fu Lin, Chia-Shang James Chu — 2002
• A Comparative Study of Unit Root Tests with Panel Data and a New Simple TestG. S. Maddala, Shaowen Wu — 1999
• A PANIC Attack on Unit Roots and CointegrationJushan Bai, Serena Ng — 2004
• Testing for Stationarity in Heterogeneous Panel DataKaddour Hadri — 2000
• Unit root tests for panel dataIn Choi — 2001
• The overvaluation of purchasing power parityPaul G. O’Connell — 1998