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A Simple Test for Nonstationarity in Mixed Panels: A Further Investigation

Författare

Summary, in English

The test of Ng (A simple test for nonstationarity in mixed panels, Journal of Business & Economic Statistics 26, 113–126, 2008) is one of the few that enables general inference regarding the proportion of non-stationary units in panel data. The current paper furthers the investigation of Ng (2008) in two directions. First, the existing sequential limit analysis is generalized to a very flexible asymptotic framework in which the number of time periods, T, can be either fixed or tending to infinity jointly with the number of crosssection units, N. Second, the test statistic is evaluated not only under the null hypothesis, but also under alternatives that can be either fixed or local.

Publiceringsår

2016-06-01

Språk

Engelska

Publikation/Tidskrift/Serie

Journal of Statistical Planning and Inference

Volym

173

Dokumenttyp

Artikel i tidskrift

Förlag

North-Holland, Elsevier

Ämne

  • Economics

Nyckelord

  • Local asymptotic power
  • Panel data
  • Unit root test

Status

Published

ISBN/ISSN/Övrigt

  • ISSN: 1873-1171