Econometric Methods

Macarena Hernández-Salmerón () and Diego Romero-Ávila ()
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Macarena Hernández-Salmerón: Regional Government of Andalusia
Diego Romero-Ávila: Pablo de Olavide University

Chapter Chapter 3 in Convergence in Output and Its Sources Among Industrialised Countries, 2015, pp 15-24 from Springer

Abstract: Abstract This chapter presents the methodology for the construction of the large battery of panel unit root and stationarity tests employed in the first part of the analysis, which explicitly allow for cross-sectional dependence. Smith et al. (J Appl Econometrics 19:147–170, 2004) and Hadri (Econom J 3:148–161, 2000) control for general forms of cross-dependence through bootstrap methods, Breitung and Das (Statistica Neerlandica 59:414–433, 2005) control for contemporaneous cross-correlation through seemingly-unrelated methods, Chang (J Econom 110:261–292, 2002) allows for cross-correlation by using a nonlinear instrumental variables method, Choi (Econometric theory and practice: frontiers of analysis and applied research: essays in honor of Peter C.B. Phillips, pp 311–334, 2002) considers a restrictive one-factor model in which all cross-sectional units are equally affected by the common factor, Pesaran (J Appl Econom 22(2):265–312, 2007) also allows for one common factor but with different factor loadings across units, and Moon and Perron (J Econom 122:81–126, 2004) and Harris et al. (J Bus Econ Stat 23:395–409, 2005) incorporate multiple common factors.

Keywords: Panel unit root tests; Panel stationarity tests; Cross-sectional dependence; Bootstrap distribution; Factor models; Nonlinear instrumental variables (search for similar items in EconPapers)
Date: 2015
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Persistent link: https://EconPapers.repec.org/RePEc:spr:spbchp:978-3-319-13635-6_3

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DOI: 10.1007/978-3-319-13635-6_3

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