On the power and interpretation of panel unit root tests

We demonstrate that panel unit root tests can have high power when a small fraction of the series are stationary and may lack power when a large fraction is stationary. The acceptance or rejection of the null is thus not sufficient evidence to conclude that all series have a unit root or that all are stationary.

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Year of publication:	1999-02-04
Authors:	Karlsson, Sune ; Löthgren, Mickael
Institutions:	Economics Institute for Research (SIR), Handelshögskolan i Stockholm
Subject:	Dynamic panels \| Monte Carlo \| heterogeneity

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Extent:	application/pdf application/postscript
Series:	SSE/EFI Working Paper Series in Economics and Finance.
Type of publication:	Book / Working Paper
Notes:	Published in Economics Letters, 2000, pages 249-255. The text is part of a series SSE/EFI Working Paper Series in Economics and Finance Number 299 11 pages
Classification:	C12 - Hypothesis Testing ; C15 - Statistical Simulation Methods; Monte Carlo Methods ; C22 - Time-Series Models ; C23 - Models with Panel Data
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005651508