Nonparametric rank tests for non-stationary panels
(2015) In Journal of Econometrics 185(2). p.378-391- Abstract
- We develop a set of nonparametric rank tests for non-stationary panels based on multivariate variance ratios which use untruncated kernels. As such, the tests do not require the choice of tuning parameters associated with bandwidth or lag length and also do not require choices with respect to numbers of common factors. The tests allow for unrestricted cross-sectional dependence and dynamic heterogeneity among the units of the panel, provided simply that a joint functional central limit theorem holds for the panel of differenced series. We provide a discussion of the relationships between our setting and the settings for which first- and second generation panel unit root tests are designed. In Monte Carlo simulations we illustrate the... (More)
- We develop a set of nonparametric rank tests for non-stationary panels based on multivariate variance ratios which use untruncated kernels. As such, the tests do not require the choice of tuning parameters associated with bandwidth or lag length and also do not require choices with respect to numbers of common factors. The tests allow for unrestricted cross-sectional dependence and dynamic heterogeneity among the units of the panel, provided simply that a joint functional central limit theorem holds for the panel of differenced series. We provide a discussion of the relationships between our setting and the settings for which first- and second generation panel unit root tests are designed. In Monte Carlo simulations we illustrate the small-sample performance of our tests when they are used as panel unit root tests under the more restrictive DGPs for which panel unit root tests are typically designed, and for more general DGPs we also compare the small-sample performance of our nonparametric tests to parametric rank tests. Finally, we provide an empirical illustration by testing for income convergence among countries. (C) 2014 Elsevier B.V. All rights reserved. (Less)
Please use this url to cite or link to this publication:
https://lup.lub.lu.se/record/5294025
- author
- Pedroni, Peter L. ; Vogelsang, Timothy J. ; Wagner, Martin and Westerlund, Joakim LU
- organization
- publishing date
- 2015
- type
- Contribution to journal
- publication status
- published
- subject
- keywords
- Cointegration, Cross-sectional dependence, Nonparametric rank tests, Time series panel, Unit roots
- in
- Journal of Econometrics
- volume
- 185
- issue
- 2
- pages
- 378 - 391
- publisher
- Elsevier
- external identifiers
-
- wos:000350778500006
- scopus:84922655173
- ISSN
- 0304-4076
- DOI
- 10.1016/j.jeconom.2014.08.013
- language
- English
- LU publication?
- yes
- id
- faecd178-2ed3-47d7-b3c6-61b9480430fa (old id 5294025)
- date added to LUP
- 2016-04-01 10:05:29
- date last changed
- 2022-03-12 01:59:53
@article{faecd178-2ed3-47d7-b3c6-61b9480430fa,
abstract = {{We develop a set of nonparametric rank tests for non-stationary panels based on multivariate variance ratios which use untruncated kernels. As such, the tests do not require the choice of tuning parameters associated with bandwidth or lag length and also do not require choices with respect to numbers of common factors. The tests allow for unrestricted cross-sectional dependence and dynamic heterogeneity among the units of the panel, provided simply that a joint functional central limit theorem holds for the panel of differenced series. We provide a discussion of the relationships between our setting and the settings for which first- and second generation panel unit root tests are designed. In Monte Carlo simulations we illustrate the small-sample performance of our tests when they are used as panel unit root tests under the more restrictive DGPs for which panel unit root tests are typically designed, and for more general DGPs we also compare the small-sample performance of our nonparametric tests to parametric rank tests. Finally, we provide an empirical illustration by testing for income convergence among countries. (C) 2014 Elsevier B.V. All rights reserved.}},
author = {{Pedroni, Peter L. and Vogelsang, Timothy J. and Wagner, Martin and Westerlund, Joakim}},
issn = {{0304-4076}},
keywords = {{Cointegration; Cross-sectional dependence; Nonparametric rank tests; Time series panel; Unit roots}},
language = {{eng}},
number = {{2}},
pages = {{378--391}},
publisher = {{Elsevier}},
series = {{Journal of Econometrics}},
title = {{Nonparametric rank tests for non-stationary panels}},
url = {{http://dx.doi.org/10.1016/j.jeconom.2014.08.013}},
doi = {{10.1016/j.jeconom.2014.08.013}},
volume = {{185}},
year = {{2015}},
}