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A note on the use of the LLC panel unit root test

Westerlund, Joakim LU (2009) In Empirical Economics 37(3). p.517-531
Abstract
One of the single most cited studies within the field of nonstationary panel data analysis is that of LLC (Levin et al. in J Econom 98:1-24, 2002), in which the authors propose a test for a common unit root in the panel. Using both theoretical arguments and simulation evidence, we show that this test can be misleading unless it is based on the same bandwidth selection rule used by LLC.
Please use this url to cite or link to this publication:
author
organization
publishing date
type
Contribution to journal
publication status
published
subject
keywords
Panel data, Unit root test
in
Empirical Economics
volume
37
issue
3
pages
517 - 531
publisher
Physica Verlag
external identifiers
  • wos:000271262400004
  • scopus:70350686403
ISSN
0377-7332
DOI
10.1007/s00181-008-0244-8
language
English
LU publication?
yes
id
a9572647-5452-486b-ab97-7737d9997ba6 (old id 1505141)
date added to LUP
2009-11-24 16:28:36
date last changed
2017-01-01 06:29:22
@article{a9572647-5452-486b-ab97-7737d9997ba6,
  abstract     = {One of the single most cited studies within the field of nonstationary panel data analysis is that of LLC (Levin et al. in J Econom 98:1-24, 2002), in which the authors propose a test for a common unit root in the panel. Using both theoretical arguments and simulation evidence, we show that this test can be misleading unless it is based on the same bandwidth selection rule used by LLC.},
  author       = {Westerlund, Joakim},
  issn         = {0377-7332},
  keyword      = {Panel data,Unit root test},
  language     = {eng},
  number       = {3},
  pages        = {517--531},
  publisher    = {Physica Verlag},
  series       = {Empirical Economics},
  title        = {A note on the use of the LLC panel unit root test},
  url          = {http://dx.doi.org/10.1007/s00181-008-0244-8},
  volume       = {37},
  year         = {2009},
}