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On the power and interpretation of panel unit root tests
Department of Economic Statistics, Stockholm School of Economics, Stockholm, Sweden. (Stat@oru)ORCID iD: 0000-0003-0203-4688
Department of Economic Statistics, Stockholm School of Economics, Stockholm, Sweden.
2000 (English)In: Economics Letters, ISSN 0165-1765, E-ISSN 1873-7374, Vol. 66, no 3, p. 249-255Article in journal (Refereed) Published
Abstract [en]

We demonstrate that panel unit root tests can have high power when a small fraction of the series is stationary and may lack power when a large fraction is stationary. The acceptance or rejection of the null is thus not sufficient evidence to conclude that all series have a unit root or that all are stationary.

Place, publisher, year, edition, pages
Elsevier, 2000. Vol. 66, no 3, p. 249-255
Keywords [en]
dynamic panels; Monte Carlo; heterogeneity
National Category
Probability Theory and Statistics Economics
Research subject
Statistics
Identifiers
URN: urn:nbn:se:oru:diva-61132DOI: 10.1016/S0165-1765(99)00237-2ISI: 000085338900002Scopus ID: 2-s2.0-0041708473OAI: oai:DiVA.org:oru-61132DiVA, id: diva2:1144098
Available from: 2017-09-25 Created: 2017-09-25 Last updated: 2017-09-27Bibliographically approved

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Karlsson, Sune

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