A Simple Test for Nonstationarity in Mixed Panels with Incidental Trends
(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:
https://lup.lub.lu.se/record/4696586
- author
- Westerlund, Joakim LU
- organization
- publishing date
- 2014
- 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
- 2016-04-01 10:23:21
- date last changed
- 2022-01-25 22:46:46
@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}}, keywords = {{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}}, doi = {{10.1016/j.econlet.2014.09.003}}, volume = {{125}}, year = {{2014}}, }