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A Simple Test for Nonstationarity in Mixed Panels: A Further Investigation

Westerlund, Joakim LU (2016) In Journal of Statistical Planning and Inference 173.
Abstract
The test of Ng (A simple test for nonstationarity in mixed panels, Journal of Business & Economic Statistics 26, 113–126, 2008) is one of the few that enables general inference regarding the proportion of non-stationary units in panel data. The current paper furthers the investigation of Ng (2008) in two directions. First, the existing sequential limit analysis is generalized to a very flexible asymptotic framework in which the number of time periods, T, can be either fixed or tending to infinity jointly with the number of crosssection units, N. Second, the test statistic is evaluated not only under the null hypothesis, but also under alternatives that can be either fixed or local.
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author
organization
publishing date
type
Contribution to specialist publication or newspaper
publication status
published
subject
keywords
Local asymptotic power, Panel data, Unit root test
categories
Popular Science
in
Journal of Statistical Planning and Inference
volume
173
publisher
North-Holland
external identifiers
  • wos:000372557400001
  • scopus:84959119502
ISSN
1873-1171
DOI
10.1016/j.jspi.2016.01.004
language
English
LU publication?
yes
id
453f7f55-79e4-43df-8fcc-fae8502ba689 (old id 8516076)
date added to LUP
2016-01-11 10:26:11
date last changed
2017-01-01 03:20:06
@misc{453f7f55-79e4-43df-8fcc-fae8502ba689,
  abstract     = {The test of Ng (A simple test for nonstationarity in mixed panels, Journal of Business & Economic Statistics 26, 113–126, 2008) is one of the few that enables general inference regarding the proportion of non-stationary units in panel data. The current paper furthers the investigation of Ng (2008) in two directions. First, the existing sequential limit analysis is generalized to a very flexible asymptotic framework in which the number of time periods, T, can be either fixed or tending to infinity jointly with the number of crosssection units, N. Second, the test statistic is evaluated not only under the null hypothesis, but also under alternatives that can be either fixed or local.},
  author       = {Westerlund, Joakim},
  issn         = {1873-1171},
  keyword      = {Local asymptotic power,Panel data,Unit root test},
  language     = {eng},
  month        = {06},
  publisher    = {North-Holland},
  series       = {Journal of Statistical Planning and Inference},
  title        = {A Simple Test for Nonstationarity in Mixed Panels: A Further Investigation},
  url          = {http://dx.doi.org/10.1016/j.jspi.2016.01.004},
  volume       = {173},
  year         = {2016},
}