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.
Avdelning/ar
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