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Modified CADF and CIPS Panel Unit Root Statistics with Standard Chi-squared and Normal Limiting Distributions

In English

Författare

Summary, in English

In an influential paper Pesaran (A Simple Panel Unit Root Test in Presence of Cross-Section Dependence, Journal of Applied Econometrics 22, 265–312, 2007) proposes two unit root tests for panels with a common factor structure. These are the CADF and CIPS test statistics, which are amongst the most popular test statistics in the literature. One feature of these statistics is that their limiting distributions are highly nonstandard, making for relatively complicated implementation. In this paper we take this feature as our starting point to develop modified CADF and CIPS test statistics that support standard chi-squared and normal inference.

Publiceringsår

2016-06

Språk

Engelska

Sidor

347-364

Publikation/Tidskrift/Serie

Oxford Bulletin of Economics and Statistics

Dokumenttyp

Artikel i tidskrift

Förlag

Wiley-Blackwell

Ämne

  • Probability Theory and Statistics

Nyckelord

  • common factor.
  • unit toot test
  • Panel data

Status

Published

ISBN/ISSN/Övrigt

  • ISSN: 1468-0084