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Comparison of panel unit root tests under cross sectional dependence

Title
Comparison of panel unit root tests under cross sectional dependence
Authors
Jang M.J.Shin D.W.
Ewha Authors
신동완
SCOPUS Author ID
신동완scopus
Issue Date
2005
Journal Title
Economics Letters
ISSN
0165-1765JCR Link
Citation
vol. 89, no. 1, pp. 12 - 17
Indexed
SSCI; SCOPUS scopus
Abstract
For cross-sectionally dependent panels, various tests are proposed according to all possible combinations of ways of de-factoring (projection, subtraction), methods of combining results from different panel units (averaging, pooling), and estimation schemes for the unit root parameters (ordinary least squares and others). A Monte Carlo experiment is conducted to compare finite sample sizes and powers of the proposed tests. It shows that subtraction is a better policy than projection in terms of size performance; for projection, pooling yields very wild-sized tests; for projection, ordinary least squares (OLS) estimation yields lower-powered tests than other estimation methods; for subtraction, averaging is slightly better than pooling in terms of size. New tests based on subtraction, averaging and OLS estimation emerged as best test in terms of both size and power. © 2005 Elsevier B.V. All rights reserved.
DOI
10.1016/j.econlet.2005.02.022
Appears in Collections:
자연과학대학 > 통계학전공 > Journal papers
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