Misleading Inferences from Panel Unit‐Root Tests with an Illustration from Purchasing Power Parity Journal Article uri icon

Overview

abstract

  • Simulations demonstrate that when unit‐root behavior is rejected in a Levin and Lin panel test, it is incorrect to infer that all series are stationary. Recent tests proposed by Im, Pesaran and Shin, and by Sarno and Taylor, are also incapable of determining the mix of I(0) and I(1) series in a panel setting. This paper introduces a new unit‐root test that allows the researcher to discern which series are I(0) and which ones are I(1). The test has double to triple the power of single‐equation augmented Dickey–Fuller tests.

publication date

  • August 1, 2001

has restriction

  • closed

Date in CU Experts

  • July 14, 2014 11:54 AM

Full Author List

  • Breuer JB; McNown R; Wallace MS

author count

  • 3

Other Profiles

International Standard Serial Number (ISSN)

  • 0965-7576

Electronic International Standard Serial Number (EISSN)

  • 1467-9396

Additional Document Info

start page

  • 482

end page

  • 493

volume

  • 9

issue

  • 3