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Time-Specific Disturbances in a Panel Data Stationarity Test

[Zeitschriftenartikel]

Jönsson, Kristian

Zitationshinweis

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Abstract In this paper, we investigate the performance of a panel data stationarity test when cross-sectional correlation is modelled by a time-specific factor. Size distortions, that occurs especially when the number of cross sections is small, are documented. To eliminate these distortions, a new set of critical values is supplied. When investigating the rejection frequency under the alternative hypothesis, it is found that the panel data stationarity test that uses the supplied critical values maintain good power characteristics even when only a subset of the cross-sectional units have a unit root.
Klassifikation Wirtschaftsstatistik, Ökonometrie, Wirtschaftsinformatik
Sprache Dokument Englisch
Publikationsjahr 2009
Seitenangabe S. 845-853
Zeitschriftentitel Applied Economics, 43 (2009) 7
DOI http://dx.doi.org/10.1080/00036840802599958
ISSN 1466-4283
Status Postprint; begutachtet (peer reviewed)
Lizenz PEER Licence Agreement (applicable only to documents from PEER project)
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