View : 15 Download: 0

Double unit root tests for cross-sectionally dependent panel data

Title
Double unit root tests for cross-sectionally dependent panel data
Authors
Shin D.W.Jung Y.Y.Oh M.-S.
Ewha Authors
오만숙신동완
SCOPUS Author ID
오만숙scopus; 신동완scopus
Issue Date
2008
Journal Title
Journal of Applied Statistics
ISSN
0266-4763JCR Link
Citation
vol. 35, no. 11, pp. 1305 - 1321
Indexed
SCIE; SCOPUS WOS scopus
Abstract
This paper proposes various double unit root tests for cross-sectionally dependent panel data. The cross-sectional correlation is handled by the projection method [P.C.B. Phillips and D. Sul, Dynamic panel estimation and homogeneity testing under cross section dependence, Econom. J. 6 (2003), pp. 217-259; H.R. Moon and B. Perron, Testing for a unit root in panels with dynamic factors, J. Econom. 122 (2004), pp. 81-126] or the subtraction method [J. Bai and S. Ng, A PANIC attack on unit roots and cointegration, Econometrica 72 (2004), pp. 1127-1177]. Pooling or averaging is applied to combine results from different panel units. Also, to estimate autoregressive parameters the ordinary least squares estimation [D.P. Hasza and W.A. Fuller, Estimation for autoregressive processes with unit roots, Ann. Stat. 7 (1979), pp. 1106-1120] or the symmetric estimation [D.L. Sen and D.A. Dickey, Symmetric test for second differencing in univariate time series, J. Bus. Econ. Stat. 5 (1987), pp. 463-473] are used, and to adjust mean functions the ordinary mean adjustment or the recursive mean adjustment are used. Combinations of different methods in defactoring to eliminate the cross-sectional dependency, integrating results from panel units, estimating the parameters, and adjusting mean functions yields various available tests for double unit roots in panel data. Simple asymptotic distributions of the proposed test statistics are derived, which can be used to find critical values of the test statistics. We perform a Monte Carlo experiment to compare the performance of these tests and to suggest optimal tests for a given panel data. Application of the proposed tests to a real data, the yearly export panel data sets of several Latin-American countries for the past 50 years, illustrates the usefulness of the proposed tests for panel data, in that they reveal stronger evidence of double unit roots than the componentwise double unit root tests of Hasza and Fuller [Estimation for autoregressive processes with unit roots, Ann. Stat. 7 (1979), pp. 1106-1120] or Sen and Dickey [Symmetric test for second differencing in univariate time series, J. Bus. Econ. Stat. 5 (1987), pp. 463-473].
DOI
10.1080/02664760802382400
Appears in Collections:
자연과학대학 > 통계학전공 > Journal papers
Files in This Item:
There are no files associated with this item.
Export
RIS (EndNote)
XLS (Excel)
XML


qrcode

Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.

BROWSE