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On the power and interpretation of panel unit root tests

Sune Karlsson () and Mickael Löthgren ()
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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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Journal Article: On the power and interpretation of panel unit root tests (2000) Downloads
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