A note on the use of the LLC panel unit root test
(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:
https://lup.lub.lu.se/record/1505141
- author
- Westerlund, Joakim LU
- organization
- publishing date
- 2009
- 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
- 2016-04-01 14:53:42
- date last changed
- 2022-03-29 23:25:53
@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}}, keywords = {{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}}, doi = {{10.1007/s00181-008-0244-8}}, volume = {{37}}, year = {{2009}}, }