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

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

Sammanfattning

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.

Disputation

Nyckelord

  • Business and Economics
  • Panel data
  • Unit root test

Övriga

Published
Yes
  • ISSN: 0377-7332

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