An Improved Panel Unit Root Test Using GLS-Detrending

Claude Lopez ()

Econometrics from EconWPA

Abstract: We propose to combine recent developments in univariate and mul- tivariate unit root testing in order to construct a more powerful panel unit root test. We extend the GLS-detrending procedure of Elliott, Rothenberg and Stock (1996) to a panel Augmented Dickey-Fuller test. The .nite sample power properties of the new test demonstrate a very large gain when compared to existing tests, especially for small panels. We then investigate the topic of Purchasing Power Parity for the post Bretton-Woods period via this new test. The results show strong rejections of the unit root hypothesis.

Keywords: DF-GLS; panel unit root (search for similar items in EconPapers)
JEL-codes: C1 C2 C3 C4 C5 C8 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm
Date: 2003-10-23, Revised 2003-10-24
Note: Type of Document - pdf; prepared on XP; pages: 43
View list of references

Downloads: (external link)
http://129.3.20.41/eps/em/papers/0310/0310006.pdf (application/pdf)

Related works:
Working Paper: An Improved Panel Unit Root Test Using GLS-Detrending (2003)
Working Paper: An Improved Panel Unit Root Test Using GLS-Detrending (2003)
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:wpa:wuwpem:0310006

Access Statistics for this paper

More papers in Econometrics from EconWPA
Series data maintained by EconWPA ().