A Simple Panel Stationarity Test in the Presence of Serial Correlation and a Common Factor

Kaddour Hadri () and Eiji Kurozumi

No 11-01, Economics Working Papers from Queen's Management School, Queen's University Belfast

Abstract: This paper develops a simple test à la Pesaran (2007) for the null hypothesis of stationarity in heterogeneous panel data with cross-sectional dependence in the form of a common factor in the disturbance. We also allow for serial correlation.

Keywords: Panel data; Stationarity; KPSS test; Cross-sectional dependence; Common factor (search for similar items in EconPapers)
JEL-codes: C12 C33 (search for similar items in EconPapers)
Pages: 12 pages
Date: 2011
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
ftp://ftp.qub.ac.uk/pub/users/repec/qub/wpaper/MS_WPS_ECO_11_01.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 500 Failed to connect to FTP server ftp.qub.ac.uk: A connection attempt failed because the connected party did not properly respond after a period of time, or established connection failed because connected host has failed to respond.

Related works:
Journal Article: A simple panel stationarity test in the presence of serial correlation and a common factor (2012)
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:qub:wpaper:1101

Access Statistics for this paper

More papers in Economics Working Papers from Queen's Management School, Queen's University Belfast Contact information at EDIRC.
Bibliographic data for series maintained by Mark McGovern ( this e-mail address is bad, please contact ).