More powerful panel data unit root tests with an application to mean reversion in real exchange rates

L. Vanessa Smith, Stephen Leybourne, Tae-Hwan Kim () and Paul Newbold
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L. Vanessa Smith: Cambridge Endowment for Research in Finance, Judge Institute of Management, University of Cambridge, UK, Postal: Cambridge Endowment for Research in Finance, Judge Institute of Management, University of Cambridge, UK
Stephen Leybourne: School of Economics, University of Nottingham, UK, Postal: School of Economics, University of Nottingham, UK
Paul Newbold: School of Economics, University of Nottingham, UK, Postal: School of Economics, University of Nottingham, UK

Journal of Applied Econometrics, 2004, vol. 19, issue 2, pages 147-170

Abstract: Unit root tests, seeking mean or trend reversion, are frequently applied to panel data. We show that more powerful variants of commonly applied tests are readily available. Moreover, power gains persist when the modifications are applied to bootstrap procedures that may be employed when cross-correlation of a rather general sort among individual panel members is suspected. Copyright © 2004 John Wiley & Sons, Ltd.

Date: 2004
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