Panel root tests and the impact of initial observations

David Harvey, Stephen Leybourne () and Nikolaos D. Sakkas

Discussion Papers from University of Nottingham, Granger Centre for Time Series Econometrics

Abstract: In this paper we show that panel unit root tests based on OLS detrending have inferior power relative to tests based on GLS detrending when the deviations of the initial observations from the deterministic components of the series are small. This ranking, however, is reversed for larger deviations. We propose a hybrid panel unit root test that captures the desirable power features of both approaches across the range of initial conditions.

Keywords: Panel unit root testing; OLS detrending; GLS detrending; power comparison (search for similar items in EconPapers)
Date: 2008-06
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.nottingham.ac.uk/research/groups/grangercentre/documents/08-02.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:not:notgts:06/02

Access Statistics for this paper

More papers in Discussion Papers from University of Nottingham, Granger Centre for Time Series Econometrics School of Economics University of Nottingham University Park Nottingham NG7 2RD. Contact information at EDIRC.
Bibliographic data for series maintained by ().