Une synthèse des tests de racine unitaire sur données de panel

Christophe Hurlin and Valérie Mignon ()

Economie & Prévision, 2005, vol. n° 169-170-171, issue 3, 253-294

Abstract: Our article presents an overview of panel unit-root tests. There are two major trends in this research area. First, since the late 1990s, the workonpanelunit-roottests aimstotake accountofheterogeneityindynamic propertiesofseries.Second, attemptshaverecentlybeenmadetointroduceadichotomy betweentwogenerationsof tests.Thefirstgenerationisbased on the hypothesis of independence between units. In contrast, the second-generation tests are characterized by the rejection of the cross-sectional independence hypothesis. Our survey discusses both generations of tests.

Keywords: non stationary panel data; unit root; heterogeneity; cross sectional dependencies (search for similar items in EconPapers)
Date: 2005
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Citations: View citations in EconPapers (18)

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Related works:
Working Paper: Une Synthèse des Tests de Racine Unitaire sur Données de Panel (2006)
Journal Article: Une synthèse des tests de racine unitaire sur données de panel (2005)
Working Paper: Une Synthèse des Tests de Racine Unitaire en sur Données de Panel (2005)
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Persistent link: https://EconPapers.repec.org/RePEc:cai:ecoldc:ecop_169_0253

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