Search Results - subject:"Panel Unit Root"

Hysteresis in Unemployment: Evidence from Norwegian Counties

Johansen, Kåre - Institutt for Samfunnsøkonomi, Norges …

The paper tests hysteresis effects in unemployment using aggregate and panel data for Norway. While tests using aggregate or county— specific time series do not reject the null of unit root hysteresis, the panel tests firmly reject the null. When a one—time structural break is incorporated,...

Persistent link: https://www.econbiz.de/10005573905

A fixed-T version of Breitung's panel data unit root test and its asymptotic local power

Karavias, Yiannis; Tzavalis, Elias - Granger Centre for Time Series Econometrics, School of …

We extend Breitung's (2000) large-T panel data unit root test to the case of fixed time dimension while still allowing for heteroscedastic and serially correlated error terms. The analytic local power function of the new test is derived assuming that only the cross section dimension of the panel...

Persistent link: https://www.econbiz.de/10010930549

The Local Power of the CADF and CIPS Panel Unit Root Tests

Westerlund, Joakim; Hosseinkouchack, Mehdi; Solberger, … - Deakin University, Faculty of Business and Law, School …

Very little is known about the local power of second generation panel unit root tests that are robust to cross …-section dependence. This paper derives the local asymptotic power functions of the CADF and CIPS tests of Pesaran (A Simple Panel Unit … Root Test in Presence of Cross-Section Dependence, Journal of Applied Econometrics 22, 265–312, 2007), which are among the …

Persistent link: https://www.econbiz.de/10010741272

Pooled Panel Unit Root Tests and the Effect of Past Initialization

Westerlund, Joakim - Deakin University, Faculty of Business and Law, School …

This paper analyzes the role of initialization when testing for a unit root in panel data, an issue that has received surprisingly little attention in the literature. In fact, most studies assume that the initial value is either zero or bounded. As a response to this, the current paper considers...

Persistent link: https://www.econbiz.de/10010741277