An Improved Panel Unit Root Test Using GLS-Detrending
Claude Lopez
Econometrics from University Library of Munich, Germany
Abstract:
We propose to combine recent developments in univariate and multivariate unit root testing in order to construct a more powerful panel unit root test. We extend the GLS-detrending procedure of Elliott, Rothenberg and Stock (1996) to a panel Augmented Dickey-Fuller test. The finite sample power properties of the new test demonstrate a very large gain when compared to existing tests, especially for small panels. We then investigate the topic of Purchasing Power Parity for the post Bretton- Woods period via this new test. The results show strong rejections of the unit root hypothesis.
Keywords: DF-GLS test; Panel unit root (search for similar items in EconPapers)
JEL-codes: C1 C2 C3 C4 C5 C8 (search for similar items in EconPapers)
Pages: 43 pages
Date: 2003-10-22
Note: Type of Document - pdf; prepared on winXP; pages: 43
References: View references in EconPapers View complete reference list from CitEc
Citations:
Downloads: (external link)
https://econwpa.ub.uni-muenchen.de/econ-wp/em/papers/0310/0310003.pdf (application/pdf)
Related works:
Journal Article: A Panel Unit Root Test with Good Power in Small Samples (2009) 
Working Paper: A Panel Unit Root Test with Good Power in Small Samples (2007) 
Working Paper: An Improved Panel Unit Root Test Using GLS-Detrending (2003) 
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:wpa:wuwpem:0310003
Access Statistics for this paper
More papers in Econometrics from University Library of Munich, Germany
Bibliographic data for series maintained by EconWPA ( this e-mail address is bad, please contact ).