In this paper we present a unit root test against a nonlinear dynamic heterogenous panel with each cross section …

This paper re-assesses the panel (unit root test) evidence for PPP on four monthly data sets. We discuss and illustrate … that commonly-used first generation panel unit root tests are inappropriate for PPP analysis since they are constructed for … cross-sectionally uncorrelated panels. Given that real exchange rate panel data sets are - almost by construction - highly …

panel data of 135 countries for the period 1995–2008. For this purpose, Panel Granger causality analysis was applied to 11 …. -- tourism income ; economic growth ; panel unit root ; panel causality …

rate stationarity for 25 countries. For robustness purpose, we have also used panel unit root tests without and with …

In this paper we derive a unit root test against a Panel Logistic Smooth Transition Autoregressive (PLSTAR). The …, finite sample properties of the test are examined. We highlight scenarios under which the traditional panel unit root tests … by Harris and Tzavalis have inferior or reasonable power compared to our test. -- Dynamic nonlinear panel ; Smooth …

This paper argues that typical applications of panel unit root tests should take possible nonstationarity in the … volatility process of the innovations of the panel time series into account. Nonstationarity volatility arises for instance when … enjoyed by many industrialized countries, known as the `Great Moderation.' It also proposes a new testing approach for panel …

Standard panel unit root tests (PURTs) are not robust to breaks in innovation variances. Consequently, recent papers …