The Performance of Panel Unit Root and Stationarity Tests: Results from a Large Scale Simulation Study

DOI10.1080/07474930500545504zbMath1225.62118OpenAlexW1983814807MaRDI QIDQ5291758

Martin Wagner, Jaroslava Hlouskova

Publication date: 22 May 2006

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://boris.unibe.ch/145655/

zbMATH Keywords

powersizesimulation studypanel unit root testpanel stationarity test

Mathematics Subject Classification ID

Related Items (15)

Likelihood ratio tests for a unit root in panels with random effects ⋮ Testing for unit roots in short panels allowing for a structural break ⋮ Unit root tests for panel data with AR(1) errors and small T ⋮ Cross-sectional correlation robust tests for panel cointegration ⋮ The factor analytical approach in near unit root interactive effects panels ⋮ A Bayesian method of distinguishing unit root from stationary processes based on panel data models with cross-sectional dependence ⋮ The error-in-rejection probability of meta-analytic panel tests ⋮ A Monte Carlo study on the size and power of panel unit root tests ⋮ Disentangling the source of non-stationarity in a panel of seasonal data ⋮ Testing for stationarity in large panels with cross-dependence, and US evidence on unit labor cost ⋮ A Bayesian panel data framework for examining the economic growth convergence hypothesis: do the G7 countries converge? ⋮ The Performance of Panel Cointegration Methods: Results from a Large Scale Simulation Study ⋮ Cross-sectional dependence robust block bootstrap panel unit root tests ⋮ Testing for stationarity in heterogeneous panel data in the presence of cross-section dependence ⋮ Nonparametric rank tests for non-stationary panels

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