An Intersection Test for Panel Unit Roots

Christoph Hanck

Econometric Reviews, 2013, vol. 32, issue 2, 183-203

Abstract: This article proposes a new panel unit root test based on Simes’ (1986) classical intersection test. The test is robust to general patterns of cross-sectional dependence and yet is straightforward to implement, only requiring p -values of time series unit root tests of the series in the panel, and no resampling. Monte Carlo experiments show good size and power properties relative to existing panel unit root tests. Unlike previously suggested tests, the new test allows to identify the units in the panel for which the alternative of stationarity can be said to hold. We provide an empirical application to real exchange rate data.

Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (30)

Downloads: (external link)
http://hdl.handle.net/10.1080/07474938.2011.608058 (text/html)
Access to full text is restricted to subscribers.

Related works:
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: https://EconPapers.repec.org/RePEc:taf:emetrv:v:32:y:2013:i:2:p:183-203

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/LECR20

DOI: 10.1080/07474938.2011.608058

Access Statistics for this article

Econometric Reviews is currently edited by Dr. Essie Maasoumi

More articles in Econometric Reviews from Taylor & Francis Journals
Bibliographic data for series maintained by ().