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This paper develops a simple test for the null hypothesis of stationarity in heterogeneous panel data with cross-sectional dependence in the form of a common factor in the disturbance. We do not estimate the common factor but mop-up its effect by employing the same method as the one proposed in...
Persistent link: https://www.econbiz.de/10005675541
This paper develops a simple test for the null hypothesis of stationarity in heterogeneous panel data with cross-sectional dependence in the form of a common factor in the disturbance. We do not estimate the common factor but mop-up its effect by employing the same method as the one proposed in...
Persistent link: https://www.econbiz.de/10005748661
In this paper, we test the Prebish–Singer (PS) hypothesis, which states that real commodity prices decline in the long run, using two recent powerful panel data stationarity tests accounting for cross-sectional dependence and a structural break. We find that the hypothesis cannot be rejected...
Persistent link: https://www.econbiz.de/10010594094
This paper develops a simple test à la Pesaran (2007) for the null hypothesis of stationarity in heterogeneous panel data with cross-sectional dependence in the form of a common factor in the disturbance. We also allow for serial correlation.
Persistent link: https://www.econbiz.de/10011041587