A Simple Test for Nonstationarity in Mixed Panels with Incidental Trends

Summary, in English

Ng (2008) shows how the cross-sectional variance of the observed panel data can be used to construct a simple test for the proportion of non-stationary units. However, in the case with incidental trends the test is distorted. The present note shows how the distortions can be substantially reduced by the use of bias-adjustment. It also investigates the local power of the bias-adjusted test, which is shown to suffer from the same incidental trends problem previously only documented for conventional tt-tests.

• Författare: Joakim Westerlund
• Avdelning/ar: Nationalekonomiska institutionen
• Publiceringsår: 2014
• Språk: Engelska
• Sidor: 160-163
• Publikation/Tidskrift/Serie: Economics Letters
• Volym: 125
• Issue: 2
• Länkar: http://dx.doi.org/10.1016/j.econlet.2014.09.003
• Dokumenttyp: Artikel i tidskrift
• Förlag: Elsevier
• Ämne: Economics
• Nyckelord: Unit root test; Panel data; Incidental trends; Bias correction; Local asymptotic power
• Status: Published
• ISBN/ISSN/Övrigt: ISSN: 0165-1765