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A Simple Test for Nonstationarity in Mixed Panels with Incidental Trends

Westerlund, Joakim LU (2014) In Economics Letters 125(2). p.160-163
Abstract
Ng (2008) shows how the cross-sectional variance of the observed panel data can be used to construct a simple test for the proportion of non-stationary units. However, in the case with incidental trends the test is distorted. The present note shows how the distortions can be substantially reduced by the use of bias-adjustment. It also investigates the local power of the bias-adjusted test, which is shown to suffer from the same incidental trends problem previously only documented for conventional tt-tests.
Please use this url to cite or link to this publication:
author
organization
publishing date
type
Contribution to journal
publication status
published
subject
keywords
Unit root test, Panel data, Incidental trends, Bias correction, Local asymptotic power
in
Economics Letters
volume
125
issue
2
pages
160 - 163
publisher
Elsevier
external identifiers
  • wos:000345542100004
  • scopus:84907876377
ISSN
0165-1765
DOI
10.1016/j.econlet.2014.09.003
language
English
LU publication?
yes
id
c8eda4df-4d8b-4ca6-bf25-6ae69bfe9589 (old id 4696586)
date added to LUP
2014-10-14 09:06:33
date last changed
2017-01-01 03:32:30
@article{c8eda4df-4d8b-4ca6-bf25-6ae69bfe9589,
  abstract     = {Ng (2008) shows how the cross-sectional variance of the observed panel data can be used to construct a simple test for the proportion of non-stationary units. However, in the case with incidental trends the test is distorted. The present note shows how the distortions can be substantially reduced by the use of bias-adjustment. It also investigates the local power of the bias-adjusted test, which is shown to suffer from the same incidental trends problem previously only documented for conventional tt-tests.},
  author       = {Westerlund, Joakim},
  issn         = {0165-1765},
  keyword      = {Unit root test,Panel data,Incidental trends,Bias correction,Local asymptotic power},
  language     = {eng},
  number       = {2},
  pages        = {160--163},
  publisher    = {Elsevier},
  series       = {Economics Letters},
  title        = {A Simple Test for Nonstationarity in Mixed Panels with Incidental Trends},
  url          = {http://dx.doi.org/10.1016/j.econlet.2014.09.003},
  volume       = {125},
  year         = {2014},
}