Javascript is not activated in your browser. This website needs javascript activated to work properly.
Du är här

A note on the use of the LLC panel unit root test

Publiceringsår: 2009
Språk: Engelska
Sidor: 517-531
Publikation/Tidskrift/Serie: Empirical Economics
Volym: 37
Nummer: 3
Dokumenttyp: Artikel
Förlag: Physica-Verlag Gmbh & Co


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.



  • Business and Economics
  • Panel data
  • Unit root test


  • ISSN: 0377-7332

Box 117, 221 00 LUND
Telefon 046-222 00 00 (växel)
Telefax 046-222 47 20
lu [at] lu [dot] se

Fakturaadress: Box 188, 221 00 LUND
Organisationsnummer: 202100-3211
Om webbplatsen