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Beyond Panel Unit Root Tests: Using Multiple Testing to Determine the Non Stationarity Properties of Individual Series in a Panel

Hyungsik Moon () and Benoit Perron ()

CIRANO Working Papers from CIRANO

Abstract: Most panel unit root tests are designed to test the joint null hypothesis of a unit root for each individual series in a panel. After a rejection, it will often be of interest to identify which series can be deemed to be stationary and which series can be deemed nonstationary. Researchers will sometimes carry out this classi.cation on the basis of n individual (univariate) unit root tests based on some ad hoc significance level. In this paper, we suggest and demonstrate how to use the false discovery rate (FDR) in evaluating I (1) = I (0) classifications

Keywords: False discovery rate; multiple testing; unit root tests; panel data. (search for similar items in EconPapers)
JEL-codes: C32 C33 C44 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ets
Date: 2011-02-01
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https://cirano.qc.ca/files/publications/2011s-17.pdf

Related works:
Journal Article: Beyond panel unit root tests: Using multiple testing to determine the nonstationarity properties of individual series in a panel (2012) Downloads
Working Paper: Beyond Panel Unit Root Tests: Using Multiple Testing to Determine the Non Stationarity Properties of Individual Series in a Panel (2010) Downloads
Working Paper: Beyond Panel Unit Root Tests: Using Multiple Testing to Determine the Non-Stationarity Properties of Individual Series in a Panel (2010) Downloads
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