Country specific and panel unit root tests
Second Generation Panel Unit Root Tests
... generation tests performs much better, but do not provide the validity of using bootstrap ...bootstrap unit root test has been proposed by Chang ...each panel is driven by a heterogeneous ...
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Breaking trend panel unit root tests
... the panel tests are ...calculating panel statistics using distributions of individual statistics simulated with corresponding fixed lag order as in ...method, panel statistics are calculated ...
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Panel-CADF Testing with R: Panel Unit Root Tests Made Easy
... a panel covariate augmented Dickey-Fuller test (that they label pCADF) and also present a method to compute the asymptotic p ...the panel; as an alternative, the difference of the first principal component ...
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Panel Unit Root Tests and the Specification of Cross-sectional Dependence
... for unit root in panel data has been a much debated ...such tests was initially based upon the assumption of cross-sectional independence between the units and it produced the so called ”first ...
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Panel Unit Root Tests in the Presence of a Multifactor Error Structure
... augmented panel unit root test proposed by Pesaran (2007) to the case of a multifactor error ...other panel unit root tests based on principal components that require in ...
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Panel Unit Root Tests in the Presence of a Multifactor Error Structure
... for unit roots in panels where both cross section (N ) and time (T ) dimensions are relatively ...generation panel unit root tests pioneered by Levin, Lin and Chu (2002) and Im, Pesaran ...
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On The Panel Unit Root Tests Using Nonlinear Instrumental Variables
... the panel unit root tests proposed by Chang ...(NIV) panel unit root test is valid under general error cross correlations for any N (the cross section dimension) as T (the ...
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The effects of variance breaks on homogenous panel unit root tests
... root tests asymptotically depend on nuisance parameters in the presence of per- manent variance ...on specific break ...of panel unit root ...intersection tests for ...
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Taking a New Contour: A Novel Approach to Panel Unit Root Tests
... finite sample sizes for all nominal test sizes and for all sample sizes considered here. Second, the Cauchy based average t-ratio statistic is more powerful than the OLS counterpart along the new contour, especially for ...
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Nonstationary-Volatility Robust Panel Unit Root Tests and the Great Moderation
... for panel unit roots that is, unlike previ- ously suggested tests, robust to nonstationarity in the volatility process of the innovations of the time series in the ...The panel test is based ...
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Nonstationary Volatility Robust Panel Unit Root Tests and the Great Moderation
... for panel unit roots that is, unlike previ- ously suggested tests, robust to nonstationarity in the volatility process of the innovations of the time series in the ...The panel test is based ...
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Performing Unit Root Tests in EViews. Unit Root Testing
... Here, we have selected the PP test in the combo box. Note that the right-hand side of the dialog has changed, and now features a combo box for selecting the spectral estimation method. You may use this combo box to ...
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Twin deficits in CEEC economies: evidence from panel unit root tests
... the unit root tests may be affected by the wrong choice of either the deterministic component (the d mt in ...the unit root null ...the unit root hypothesis, and are ...
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Purchasing power parity in ASEAN+3: an application of panel unit root tests
... the panel that covers selected 10 countries of the Association of Southeast Asian Nations (ASEAN), with China, Japan and South ...of panel unit root tests is used on new data series in ...
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Persistence in Corporate Performance? - Empirical Evidence from Panel Unit Root Tests
... 1310 panel members. The unit root test is then performed as a stepwise linear regression where all lags not significant at the 10 percent level of significance are deleted, which for most of the 1310 ...
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Fisher hypothesis: East Asian evidence from panel unit root tests
... Abstract This study finds evidence supportive of Fisher hypothesis in East Asian economies using panel unit root tests, which allow for cross-country variations in the estimation. Among ...
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Generalized �Fixed T Panel Unit Root Tests Allowing for Structural Breaks
... the tests is calculated as the minimum of a …xed number of correlated ...the tests considerably facilitates calculation of critical values for the implementation of the tests in ...the tests ...
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Panel Unit Root Tests in the Presence of Cross-Sectional Dependency and Heterogeneity 1
... for unit roots in panels with general dependency and het- erogeneity across cross-sectional ...available tests can be used to test for unit roots in such general ...the unit root ...
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Panel Unit Root Tests in the Presence of Cross-Sectional Dependencies: Comparison and Implications for Modelling
... the model specifications are sufficiently close to each other and some are partly nested to allow for comparison. At the same time, the test procedures differ in important ways to make it interesting to compare their ...
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Panel unit root tests of purchasing power parity hypothesis: Evidence from Turkey
... a unit-root in the real exchange rate this implies that shocks to the real exchange rate are permanent and PPP does not exist between two ...classical unit root tests of the real ...
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