Myths and Facts about Panel Unit Root Tests

Joakim Westerlund and Jörg Breitung ()

No 380, Working Papers in Economics from University of Gothenburg, Department of Economics

Abstract: This paper points to some of the common myths and facts that have emerged from 20 years of research into the analysis of unit roots in panel data. Some of these are wellknown, others are not. But they all have in common that if ignored the effects can be very serious. This is demonstrated using both simulations and theoretical reasoning.

Keywords: Non-stationary panel data; Unit root tests; Cross-section dependence; Multidimensional limits (search for similar items in EconPapers)
JEL-codes: C13 C33 (search for similar items in EconPapers)
Pages: 43 pages
Date: 2009-09-11
New Economics Papers: this item is included in nep-ecm and nep-ets
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:hhs:gunwpe:0380

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