Nonparametric Rank Tests for Non-stationary Panels
Timothy Vogelsang (),
Martin Wagner and
Joakim Westerlund ()
No 270, Economics Series from Institute for Advanced Studies
This study develops new rank tests for panels that include panel unit root tests as a special case. The tests are unusual in that they can accommodate very general forms of both serial and cross-sectional dependence, including cross-unit cointegration, without the need to specify the form of dependence or estimate nuisance parameters associated with the dependence. The tests retain high power in small samples, and in contrast to other tests that accommodate cross-sectional dependence, the limiting distributions are valid for panels with finite cross-sectional dimensions.
Keywords: Nonparametric rank tests; unit roots; cointegration; cross-sectional dependence (search for similar items in EconPapers)
JEL-codes: C12 C22 C23 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm and nep-ets
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http://www.ihs.ac.at/publications/eco/es-270.pdf First version, 2011 (application/pdf)
Journal Article: Nonparametric rank tests for non-stationary panels (2015)
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Persistent link: http://EconPapers.repec.org/RePEc:ihs:ihsesp:270
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