Modified CADF and CIPS Panel Unit Root Statistics with Standard Chi-squared and Normal Limiting Distributions
(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.
Please use this url to cite or link to this publication:
https://lup.lub.lu.se/record/8516049
- author
- Westerlund, Joakim LU and Hosseinkouchack, Mehdi
- organization
- publishing date
- 2016-06
- 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
- 2016-04-01 10:55:08
- date last changed
- 2022-04-28 02:51:50
@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}}, keywords = {{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}}, doi = {{10.1111/obes.12127}}, year = {{2016}}, }