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Do hours worked contain a unit root? Evidence from panel data
Kappler, Marcus - In: Empirical Economics 36 (2009) 3, pp. 531-555
Persistent link: https://www.econbiz.de/10004995478
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Unit roots and cointegration in panels
Breitung, Jörg; Pesaran, Mohammad Hashem - Deutsche Bundesbank - 2005
This paper provides a review of the literature on unit roots and cointegration in panels where the time dimension (T … degrees, the dependence that might prevail across the different units in the panel. In the analysis of cointegration the … hypothesis testing and estimation problems are further complicated by the possibility of cross section cointegration which could …
Persistent link: https://www.econbiz.de/10005083230
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Panel Unit Root Tests in the Presence of a Multifactor Error Structure
Pesaran, M. Hashem; Smith, L. Vanessa; Yamagata, Takashi - Institute for the Study of Labor (IZA) - 2007
This paper extends the cross sectionally augmented panel unit root test proposed by Pesaran (2007) to the case of a multifactor error structure. The basic idea is to exploit information regarding the unobserved factors that are shared by other time series in addition to the variable under...
Persistent link: https://www.econbiz.de/10005762413
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Panel Unit Root Tests in the Presence of a Multifactor Error Structure
Pesaran, M. Hashem; Smith, L. Vanessa; Yamagata, Takashi - Department of Economics and Related Studies, University … - 2008
This paper extends the cross sectionally augmented panel unit root test proposed by Pesaran (2007) to the case of a multifactor structure. The basic idea is to exploit information regarding the unobserved factors that are shared by other time series in addition to the variable under...
Persistent link: https://www.econbiz.de/10005524017
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Unit Roots and Cointegration in Panels
Breitung, Jörg; Pesaran, M. Hashem - Institute of Economic Policy Research (IEPR), … - 2005
This paper provides a review of the literature on unit roots and cointegration in panels where the time dimension (T … degrees, the dependence that might prevail across the different units in the panel. In the analysis of cointegration the … hypothesis testing and estimation problems are further complicated by the possibility of cross section cointegration which could …
Persistent link: https://www.econbiz.de/10005537352
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Testing for stationarity in heterogeneous panel data in the presence of cross section dependence
Giulietti, Monica; Otero, Jesus; Smith, Jeremy - Department of Economics, University of Warwick - 2006
The panel variant of the KPSS tests developed by Hadri (2000) for the null of stationarity suffers from size distortions in the presence of cross section dependence. However, applying the bootstrap methodology we find that these tests are approximately correctly sized.
Persistent link: https://www.econbiz.de/10005747133
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Panel unit root tests in the presence of a multifactor error structure
Pesaran, M. Hashem; Vanessa Smith, L.; Yamagata, Takashi - In: Journal of Econometrics 175 (2013) 2, pp. 94-115
This paper extends the cross-sectionally augmented panel unit root test (CIPS) proposed by Pesaran (2007) to the case of a multifactor error structure, and proposes a new panel unit root test based on a simple average of cross-sectionally augmented Sargan–Bhargava statistics (CSB). The basic...
Persistent link: https://www.econbiz.de/10011052269
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Unit Roots and Cointegration in Panels
Breitung, J.; Pesaran, M.H. - Faculty of Economics, University of Cambridge - 2005
This paper provides a review of the literature on unit roots and cointegration in panels where the time dimension (T … degrees, the dependence that might prevail across the different units in the panel. In the analysis of cointegration the … hypothesis testing and estimation problems are further complicated by the possibility of cross section cointegration which could …
Persistent link: https://www.econbiz.de/10005783752
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Panel Unit Root Tests in the Presence of a Multifactor Error Structure.
Pesaran, M.H.; Smit, L.V.; Yamagata, T. - Faculty of Economics, University of Cambridge - 2007
This paper extends the cross sectionally augmented panel unit root test proposed by Pesaran (2007) to the case of a multifactor error structure. The basic idea is to exploit information regarding the unobserved factors that are shared by other time series in addition to the variable under...
Persistent link: https://www.econbiz.de/10005783812
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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