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Identifying I(0) Series in Macro-panels: Are Sequential Panel Selection Methods Useful?

Mauro Costantini () and Claudio Lupi ()

Economics & Statistics Discussion Papers from University of Molise, Dept. EGSeI

Abstract: Sequential panel selection methods (spsms) are based on the repeated application of panel unit root tests and are increasingly used to identify I (0) time series in macro- panels. We check the reliability of spsms by using Monte Carlo simulations based on generating the individual test statistics and the p values to be combined into panel unit root tests, both under the unit root null and under selected local alternatives. The analysis is carried out considering both independent and dependent test statistics. We show that spsms do not possess better classification performances than conventional univariate tests.

Keywords: Unit root; Panel data; ROC curve; Simulation (search for similar items in EconPapers)
JEL-codes: C12 C15 C23 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-ger
Date: 2014-03-29
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