EconPapers    
Economics at your fingertips  
 

On the power and interpretation of panel unit root tests

Sune Karlsson () and Mickael Löthgren ()
Additional contact information
Mickael Löthgren: Dept. of Economic Statistics, Stockholm School of Economics, Postal: Stockholm School of Economics, P.O. Box 6501, S-113 83 Stockholm, Sweden

No 299, SSE/EFI Working Paper Series in Economics and Finance from Stockholm School of Economics

Abstract: We demonstrate that panel unit root tests can have high power when a small fraction of the series are 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.

Keywords: Dynamic panels; Monte Carlo; heterogeneity (search for similar items in EconPapers)
JEL-codes: C12 C15 C22 C23 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm and nep-ets
Date: 1999-02-04
References: Add references at CitEc
Citations View citations in EconPapers (2) Track citations by RSS feed

Published in Economics Letters, 2000, pages 249-255.

Downloads: (external link)
http://swopec.hhs.se/hastef/papers/hastef0299.pdf.zip (application/pdf)
http://swopec.hhs.se/hastef/papers/hastef0299.pdf (application/pdf)
http://swopec.hhs.se/hastef/papers/hastef0299.ps (application/postscript)
http://swopec.hhs.se/hastef/papers/hastef0299.ps.zip (application/postscript)

Related works:
Journal Article: On the power and interpretation of panel unit root tests (2000) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:hhs:hastef:0299

Access Statistics for this paper

More papers in SSE/EFI Working Paper Series in Economics and Finance from Stockholm School of Economics The Economic Research Institute, Stockholm School of Economics, P.O. Box 6501, 113 83 Stockholm, Sweden. Contact information at EDIRC.
Series data maintained by Helena Lundin ().

 
Page updated 2017-05-25
Handle: RePEc:hhs:hastef:0299