Access the full text.
Sign up today, get DeepDyve free for 14 days.
(1992)
`Testing for the Null of Stationarity Against the Alternative of a Unit Root
Jean-Marie Dufour, Olivier Torrès (1998)
Union-Intersection and Sample-Split Methods in Econometrics with Applications to MA and SURE Models ∗
C. Kao, S. Mccoskey (1997)
A Residual-Based Test Of The Null Of Cointegration In Panel DataEconometrics
Keun-Yeob Oh (1996)
Purchasing power parity and unit root tests using panel dataJournal of International Money and Finance, 15
(1997)
`P-Values: Combination', in Kotz, S
Shaowen Wu (1998)
Nonstationary panel data analysis
Pierre Perron, Serena Ng (1996)
Useful Modifications to some Unit Root Tests with Dependent Errors and their Local Asymptotic PropertiesThe Review of Economic Studies, 63
David Papell (1997)
Searching for stationarity: Purchasing power parity under the current floatJournal of International Economics, 43
J. Frankel, A. Rose (1995)
A Panel Project on Purchasing Power Parity: Mean Reversion within and between CountriesMonetary Economics
D. Lindley, Calyampudi Rao (1953)
Advanced Statistical Methods in Biometric Research., 116
P. Phillips, H. Moon (1999)
Linear Regression Limit Theory for Nonstationary Panel DataEconometrica, 67
(1997)
`Testing for Unit Roots in Heterogeneous Panels', Mimeo, Department of Applied Economics, University of Cambridge
J. Breitung, W. Meyer (1994)
Testing for unit roots in panel data: are wages on different bargaining levels cointegrated?Applied Economics, 26
(1982)
`Bonferroni Inequalities and Intervals', in Johnson, N
Jean-Marie Dufour (1990)
Exact tests and confidence sets in linear regressions with autocorrelated errors
Christopher Cavanagh, G. Elliott, J. Stock (1995)
Inference in Models with Nearly Integrated RegressorsEconometric Theory, 11
C. Kao (1996)
Spurious Regression and Residual-Based Tests for Cointegration in Panel Data When the Cross-Section and Time-Series Dimensions are ComparableEconometrics
T. Vogelsang (2001)
Unit Roots, Cointegration, and Structural ChangeJournal of the American Statistical Association, 96
(1993)
`Unit Root Test in Panel Data: New Results', University of California at San Diego, Discussion Paper No
N. Savin (1984)
MULTIPLE HYPOTHESIS TESTINGHandbook of Econometrics, 2
R. MacDonald (1996)
Panel unit root tests and real exchange ratesEconomics Letters, 50
D. Quah (1993)
Exploiting Cross Section Variation for Unit Root Inference in Dynamic DataEconomics Letters, 44
Robert Rayner (1990)
Bootstrapping p Values and Power in the First-Order Autoregression: A Monte Carlo InvestigationJournal of Business & Economic Statistics, 8
P. O'Connell (1998)
The overvaluation of purchasing power parityJournal of International Economics, 44
Yangru Wu (1996)
Are Real Exchange Rates Nonstationary? Evidence from a Panel-Data TestJournal of Money, Credit and Banking, 28
G. Maddala, S. Wu (2000)
Cross-country growth regressions: problems of heterogeneity, stability and interpretationApplied Economics, 32
G. Li, Maddala (1996)
Bootstrapping time series modelsEconometric Reviews, 15
(1992)
International Patterns of Growth I: Persistence in Cross-Country Disparities
M. Kendall (1937)
Statistical Methods for Research WorkersNature, 139
S. Leybourne, B. McCabe (1994)
A Consistent Test for a Unit RootJournal of Business & Economic Statistics, 12
G. Elliott, T. Rothenberg, J. Stock (1992)
Efficient Tests for an Autoregressive Unit RootEconometrics eJournal
S. Mccoskey, C. Kao (1999)
A Monte Carlo Comparison of Tests for Cointegration in Panel DataEconometrics: Econometric & Statistical Methods - General eJournal
E. Rest, L. Tippett (1933)
The Methods of Statistics.
D. Kwiatkowski, P. Phillips, P. Schmidt, Y. Shin (1992)
Testing the null hypothesis of stationarity against the alternative of a unit root: How sure are we that economic time series have a unit root?Journal of Econometrics, 54
The panel data unit root test suggested by Levin and Lin (LL) has been widely used in several applications, notably in papers on tests of the purchasing power parity hypothesis. This test is based on a very restrictive hypothesis which is rarely ever of interest in practice. The Im–Pesaran–Shin (IPS) test relaxes the restrictive assumption of the LL test. This paper argues that although the IPS test has been offered as a generalization of the LL test, it is best viewed as a test for summarizing the evidence from a number of independent tests of the sample hypothesis. This problem has a long statistical history going back to R. A. Fisher. This paper suggests the Fisher test as a panel data unit root test, compares it with the LL and IPS tests, and the Bonferroni bounds test which is valid for correlated tests. Overall, the evidence points to the Fisher test with bootstrap‐based critical values as the preferred choice. We also suggest the use of the Fisher test for testing stationarity as the null and also in testing for cointegration in panel data.
Oxford Bulletin of Economics & Statistics – Wiley
Published: Nov 1, 1999
Read and print from thousands of top scholarly journals.
Already have an account? Log in
Bookmark this article. You can see your Bookmarks on your DeepDyve Library.
To save an article, log in first, or sign up for a DeepDyve account if you don’t already have one.
Copy and paste the desired citation format or use the link below to download a file formatted for EndNote
Access the full text.
Sign up today, get DeepDyve free for 14 days.
All DeepDyve websites use cookies to improve your online experience. They were placed on your computer when you launched this website. You can change your cookie settings through your browser.