A note on the use of the LLC panel unit root test
Författare
Summary, in English
One of the single most cited studies within the field of nonstationary panel data analysis is that of LLC (Levin et al. in J Econom 98:1-24, 2002), in which the authors propose a test for a common unit root in the panel. Using both theoretical arguments and simulation evidence, we show that this test can be misleading unless it is based on the same bandwidth selection rule used by LLC.
Avdelning/ar
Publiceringsår
2009
Språk
Engelska
Sidor
517-531
Publikation/Tidskrift/Serie
Empirical Economics
Volym
37
Issue
3
Dokumenttyp
Artikel i tidskrift
Förlag
Physica Verlag
Ämne
- Economics
Nyckelord
- Panel data
- Unit root test
Status
Published
ISBN/ISSN/Övrigt
- ISSN: 0377-7332