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Modified CADF and CIPS Panel Unit Root Statistics with Standard Chi-squared and Normal Limiting Distributions

Westerlund, Joakim LU and Hosseinkouchack, Mehdi (2016) In Oxford Bulletin of Economics and Statistics p.347-364
Abstract
In an influential paper Pesaran (A Simple Panel Unit Root Test in Presence of Cross-Section Dependence, Journal of Applied Econometrics 22, 265–312, 2007) proposes two unit root tests for panels with a common factor structure. These are the CADF and CIPS test statistics, which are amongst the most popular test statistics in the literature. One feature of these statistics is that their limiting distributions are highly nonstandard, making for relatively complicated implementation. In this paper we take this feature as our starting point to develop modified CADF and CIPS test statistics that support standard chi-squared and normal inference.
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author
organization
publishing date
type
Contribution to journal
publication status
published
subject
keywords
common factor., unit toot test, Panel data
in
Oxford Bulletin of Economics and Statistics
pages
347 - 364
publisher
Wiley-Blackwell
external identifiers
  • scopus:84963652806
  • wos:000374969200003
ISSN
1468-0084
DOI
10.1111/obes.12127
language
English
LU publication?
yes
id
9fbd099a-1833-4ff4-b8c2-a543b403f05c (old id 8516049)
date added to LUP
2016-01-11 10:15:48
date last changed
2017-09-18 11:28:30
@article{9fbd099a-1833-4ff4-b8c2-a543b403f05c,
  abstract     = {In an influential paper Pesaran (A Simple Panel Unit Root Test in Presence of Cross-Section Dependence, Journal of Applied Econometrics 22, 265–312, 2007) proposes two unit root tests for panels with a common factor structure. These are the CADF and CIPS test statistics, which are amongst the most popular test statistics in the literature. One feature of these statistics is that their limiting distributions are highly nonstandard, making for relatively complicated implementation. In this paper we take this feature as our starting point to develop modified CADF and CIPS test statistics that support standard chi-squared and normal inference.},
  author       = {Westerlund, Joakim and Hosseinkouchack, Mehdi},
  issn         = {1468-0084},
  keyword      = {common factor.,unit toot test,Panel data},
  language     = {eng},
  pages        = {347--364},
  publisher    = {Wiley-Blackwell},
  series       = {Oxford Bulletin of Economics and Statistics},
  title        = {Modified CADF and CIPS Panel Unit Root Statistics with Standard Chi-squared and Normal Limiting Distributions},
  url          = {http://dx.doi.org/10.1111/obes.12127},
  year         = {2016},
}