On the power and interpretation of panel unit root tests
Sune Karlsson () and
Mickael Löthgren ()
Additional contact information
Mickael Löthgren: Dept. of Economic Statistics, Stockholm School of Economics, Postal: Stockholm School of Economics, P.O. Box 6501, S-113 83 Stockholm, Sweden
No 299, SSE/EFI Working Paper Series in Economics and Finance from Stockholm School of Economics
Abstract:
We demonstrate that panel unit root tests can have high power when a small fraction of the series are stationary and may lack power when a large fraction is stationary. The acceptance or rejection of the null is thus not sufficient evidence to conclude that all series have a unit root or that all are stationary.
Keywords: Dynamic panels; Monte Carlo; heterogeneity (search for similar items in EconPapers)
JEL-codes: C12 C15 C22 C23 (search for similar items in EconPapers)
Pages: 11 pages
Date: 1999-02-04
New Economics Papers: this item is included in nep-ecm and nep-ets
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Citations: View citations in EconPapers (4)
Published in Economics Letters, 2000, pages 249-255.
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Related works:
Journal Article: On the power and interpretation of panel unit root tests (2000) 
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Persistent link: https://EconPapers.repec.org/RePEc:hhs:hastef:0299
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